Dangerous for a couple reasons. 
1. The client is handling your key. They may handle it properly, but this requires trust. Impossible to verify. 
2. Your key is on your clipboard now. This may persist in memory until you copy something else or even longer. You may have malicious software that will grab it from your clipboard. 
3. You may have malicious software that logs text you input. 

There are probably other reasons but these are the big ones I can think of off the top.