It depends on what you consider risky. When you put your money in a 401(k) you are agreeing to play by the rules of the Internal Revenue Service. Yes your funds may be managed by Vanguard or BlackRock, but the money is not there for you to use or not use as you please, this was a repeated pain point between customers and myself as an ex-employee of Vanguard. "It's my money and I want it now!" was the broken record complaints I had to hear everyday. Your money is subject to IRS rules, you cannot just go get it whenever you want.
Point number two that people forget is that its not a savings account, its a form of investment, albeit passive investment on your part. You are telling Vanguard or BlackRock I am okay with you figuring out how to invest my money and the accepted narrative is that it will be invested wisely.
Point number three, the day you do draw money form your 401(k) it will be subject to a certain percentage of taxation that people who are in the role I used to be will tell you is no big deal. What they don't tell you is, politics change. That tax hit could be much higher ten years from now and if you decide, nope I am not cool with that, there is nothing you can do about it, your money is now in the hands of the IRS for all intents and purposes because its subject to their rules. Again, BlackRock and Vanguard is managing it for you in terms of where to invest it, but they are following IRS rules in regards to everything else that happens to your 401(k).
Point number four, 401(k)s and IRAs lost about $2.4 trillion in the final two quarters of 2008, and the average loss that year for workers who had been on the job for 20 years was, according to one estimate, about 25 percent.
So these are all important points to consider and I would also consider extreme or edge cases that have never happened before but could happen. For example, the government could say hey we are going to hold on to your 401(k)s indefinitely to keep the economy afloat or fund Medicare or Social Security, its a patriotic thing to do and in lieu of this we will cut you a check for $1,000 a month. It's not that far-fetched if Democratic incumbent Andrew Yangs' platform is UBI. You might get that UBI money as a thanks for your patriotism in giving up what you had in your 401(k) to keep our nation strong. Don't scoff, point number four I cited above was never supposed to happen either.
The theme here is you are engaging in an investment tool that is known as passive investment, which means you have little control over its movement. This has been sold as low risk due to frame of reference. In other words, having to figure out where to invest your money is looked at as high risk, but someone trained on Wall Street would look at 401(k) as high risk because of the passivity and lack of control of where to invest, how and when and how to pull out.
So really risky is how you look at it. Do you prefer to go duck hunting yourself, or do you trust that Perdue and Tyson are going to provide you with good quality duck meat?
One of my key points above that I will reiterate once again is as follows, 401(k) plans are often touted because of the perceived tax benefits, but the benefits may not materialize in the long run as tax laws change.
Also, the suggestion that if a Vanguard goes bankrupt your money will still be there, that's not how bankruptcy go. Shareholders are the first to be made whole, what is left after that, if anything then will go to their customers.
Once again, a 401(k) is passive investing, putting your money in an index fund, but its actually exposed to all sorts of systemic risk that you may not be aware of, but more importantly, you do not control the investment of that capital. Don't be passive, take control of your capital, this way you are more likely to get returns that are more satisfying and sustainable in the long run.