The main risk is that you don't make back what you've spent on the company to do your cloud mining for you.
Cloud Mining is a business... and so you have to figure out why the business would rather accept payment from you instead of just mining the cryptocurrency themselves.... Say you paid $100 for a cloud miner to mine for you for one year... and in that year you made $200 worth of cryptocurrency. That means the company that mined for you has effectively lost $100 worth of crypto for themselves.
I believe companies like Genesis Mining (https://www.genesis-mining.com/) say that the reason they are offering cloud mining hash power is to diversify their business. They could just mine cryptocurrency, and do, but by offering cloud mining they also get USD from their customers which helps pay all their expenses, especially when the cryptocurrency market is low.
I've been cloud mining for a year, and I've probably only made 10% of the value of what I spent.... but that'll change if the market goes up again.
The other risk is that you choose the wrong coin to mine. You can't be super reactive to the market changes, because it takes a long time to mine... so I'm mining Monero for example... if the Monero coin fails (which I doubt, but it's not impossible) then I've wasted that money and that time when I could have been mining something else.
Mostly though, I think it's a good way to diversify your portfolio... and as always never spend more than you can afford to lose completely.
Cloud mining is actually a pretty Innovative idea towards cryptocurrency mining and it's something that I myself have dabbled in a bit. As far as the risks go, let me try and list them out for you;
1. Could be a scam: Well take it from a somebody who's been scammed by sites like this before, alot of cloud mining sites you see online are actually scams, they're just Ponzi schemes which promise very high returns in very short periods of time. I'd advice that you do your homework before you consider investing your money in a cloud mining platform.
2. Cryptocurrency Volatility: Well we're all aware of how fast things can go from 0 - 100 then 100 - 0 in the cryptosphere so if you use 100$ to buy a certain mining plan, there's no guarantee that the amount of money that you get at the end of it all will be greater than what you invest because the cryptocurrency that you're mining may lose value before your contract is up.
3. Read the fine print: Some people don't take the time to understand the nature of the contract that they sign with their cloud mining services and as such they make investments without fully grasping what their getting in for. There could be a rule in your contract that prevents you from withdrawing your earnings for a year straight and you might feel that you can withdraw anytime so you invest more than you should, effectively locking your money down for a year.
4. Mining difficulty may increase: Well you may not know this but it's possible that over time it will become more difficult to mine a particular cryptocurrency and if that's what you're mining then it's possible that o we time the amount of the cryptocurrency that you're mining may reduce and at the end of the contract you'll make less than what you expect.
5. Hardforks: Well imagine if bitcoin suddenly announced that there'll be a change to the protocol which will make bitcoin an mining free cryptocurrency, as such nobody will be able to mine the coin. If you happen to have a BTC mining contract then it's very possible that at that point that contract becomes useless because the company will no longer be able to mine the coin for you.
I'm sure there are more risks, but for now this is all I could gather.
I hope this helps.