I'm guessing because it's possible for the data to be corrupted in just the right way so as to construct some system-crashing (or critical-data corrupting) system() or eval() call. Though that's a pretty extreme paranoia.

As you state, the python files themselves could also be corrupted in such a manor and then run in the interpreter, or a compiled program could get corrupted in just the right way to execute 'rm -rf /' though it's not likely.