There are a number of risks when staking ETH:
Protocol / Technical: The Beacon Chain is only one year old but has proven, as a protocol, remarkably resilient. The next big change coming is the Merge in 2022 and this will be another quantum leap with some inherent risks.
New Key-Types: The keys used on the Beacon Chain and across Eth2 follow the BLS12-381 curve rather than the ones used previously on Ethereum mainnet.
Slashing: Mismanaged validators can incur slashing penalties. These are especially punishing since, until withdrawals are enabled, the remaining ETH in a slashed validator account cannot be accessed.
Access / Eth Roadmap: As of launch, no withdrawals are possible. Customers staking their ETH are waiting for withdrawals to be implemented after the Merge.