Not really; but it depends on implementation.  Most I've seen suggest that you should retain possession of 2 of the 3 keys in a 2-of-3 multisig, for example... There is no counterparty risk if a) your authorization is required to move funds; and b) you don't require anyone else's authorization to move funds.

The real risk multisig introduces is complication risk: simply more keys to keep track of.