If the tailpipe is restricted (by snow, say), you're likely to damage the car. If it runs poorly when it starts, and it's unsupervised, it could result in damage that would have been avoided if you were present and shut it down in a reasonable amount of time.

If someone is working on the car (authorized or not), they may be injured if it starts without their knowledge.

If it's parked indoors, exhaust gasses are likely to build up, leading to a dangerous situation. If you have multiple drivers, maybe someone else moved it and you didn't know.