People like to think in terms of lucky and unlucky. In this very context, the term "risk" can play a big role. So what is risk in chess and when do we come across it in a chess game?
For example. Imagine you are playing with the white pieces. You have recently castled kingside and black has placed an annoying bishop on g4 that pins your Nf3 to your Qd1. You decide to play h3, and after Bh5, you follow up with g4. Risky! The pawn on g2 is vital for defending the white king, it defends the h1-a8 diagonal, the g1-g8 file and also the squares f3 and h3. The risk can pay off, perhaps you follow up with Nf3-e5xg6 and get an edge in the endgame. The risk can also backfire and you get checkmated in the middlegame.
Another example. Imagine you are playing with the white pieces. Black has just played a6-a5 to hit your Nb4. You have a pawn on b5. You decide to play Nb4-a6 to secure a light piece on the sixth rank. Risky! The knight on a6 is far away from the kingside and two moves away from the center. If dynamic things start to happen then the knight will be offside. On the other hand, the knight can prove itself useful because it supports the b5 pawn to promotion by protecting the b8 and c7 squares.
There is a saying that "in an equal position, you cannot create something good for yourself without giving away something good to your opponent". When taking a risk, like opening the king or placing a piece on an offside position, you do give away something good to your opponent. Risk is an exciting part of chess. Whenever a feeling of the "unknown" washes over you when you see an idea, then that idea is probably risky. And in the murky waters of risk, you might uncover the hidden treasures of your position. Or you might fail miserably and wish you played the safe card.