I don't believe so. Why would you think they were? To my knowledge there is no evidence to show that there is anything unsafe about having a lucid dream. However, some tactics that certain people might use to achieve one, may pose some risk.
For example, sleep deprivation is unhealthy, but I personally find if I haven't slept in awhile, when I do sleep, I get more intense dreams, and therefore, have a better chance at lucidity. But I don't do this purposefully to become lucid. Lucid dreams can be achieved through a number of techniques that pose no risk at all, such as MILD, DILD, reality testing, etc. Some people also take supplements to increase their risk of LD, or their frequency of it. Some supplements can pose some risk, but some are vitamins and minerals that your body needs and can be taken in safe doses to make you more likely to LD (but be sure not to exceed a safe dose)- and many people take these vitamins, anyway. Also, they can be obtained through eating more foods or drinking more drinks with the said supplement in it.
Sometimes an LD happens spontaneously, without even trying for it. There's nothing dangerous, that I know of, about LD'ing- just make sure that, IF you are actually inducing LDs, you choose a safe method or safe methods to get there! And there are many safe methods you can try!