I'm not sure about every pension system, but there are many that invest in government bonds. The problem what that approach is the sustainability of the system depends entirely upon interest rates, which have been at all time lows for the past 15 years. Some private pensions invest in the broader market.

All investment systems suffer from this exact problem: returns aren't guaranteed. Even people with 401ks might experience this same issue if investment returns fall below the conventional wisdom rate of ~7% (or 4% real). But even if that rate holds up over the long-term, there's still to risk of a "lost decade" of no-returns or losses for and extended period, followed by a sudden market pop.

Pensions are hard.