As a general rule of thumb, there are always risks when you invest in anything. Art is no different. It's important to understand what those risks are so that you can make an informed decision about whether or not investing in art is right for you.
The biggest concern with investing in art is probably the risk of losing money. It's true that if you buy art as an investment, it could go up in value over time and make you money. However, it could also go down in value, or even become worthless (like most things). The same thing goes for any other investment: stocks, bonds, real estate... all of these things can lose their value if the market changes or something else goes wrong. So yes—there are risks associated with investing in art!
Another risk associated with investing in art is that it might not have any intrinsic value at all. For example: if someone made a painting and sold it at an auction house without telling anyone who they were—and then they died without leaving any records behind—then that painting would have no intrinsic worth whatsoever because there's no way to prove who created it or why they created it (if they did).