Ventless dryers have no risks beyond those of appliances that draw a significant amount of electricity. No toxic fumes are produced under normal operating conditions.
As of 2015, all ventless dryers operate on electricity. Since gas-powered dryers may produce carbon monoxide or other dangerous chemicals when they run, natural gas is only used on vented units. There is no combustion within electrical dryers, so the risk of fire is low.
However, caution should be taken when installing a ventless dryer. Since most dryers draw 240 volts, the electrical connection must be robust enough to handle heavy use for extended periods of time.