The risk involved in the procedure depends upon the disease condition of the lung from which the sample is to be taken. 
 
Patient with a severe disease condition of the lung having serious

complications in breathing may develop severe breathing problems during the biopsy procedure
Lung biopsy procedure may lead to Collapsed lung (Pneumothroax), to avoid development of collapsed lungs, a tube must be placed in the chest to keep the lungs inflated and the air can escape out through the tube.

Signs of collapsed lungs are shortness of breath, Rapid heart failure, Blueness of the skin. 
Partial collapse of the lungs may occur due to accidental tearing of the lung wall by the biopsy needle allowing the collection of air in the pleural space.

Severe bleeding may occur
Infection can occur after the procedure due to microbial contamination leading to pneumonia, which can be treated by giving antibiotics and keeping the biopsy site sterile after the procedure.
 
Irregular heart beat may occur
Biopsy procedure may lead to Spasms of the bronchial tubes causing breathing impairment.