It would entirely depend I guess - the way I do it I don't see how it is possible. I suppose if you neglected to wash your hands before you might risk an infection or there are some women who get off on inserting very large objects into their vaginas - I suppose you could do damage to yourself that way, tearing or bruising and such.
But generally speaking, no - your clit won't fall off from rubbing, you won't go blind, or deaf, or mad.
One thing I have heard of happening is 'vibrator fatigue' - well that's my term for it. What it is is that some women get dependant on their vibrator to make them orgasm, they come to require the stimulation from the vibe and the stimulation from sex is not as easy to concentrate and control - so these women become unable to orgasm during sex.
That's not exactly a health risk - but I would consider it a potential negative side effect.
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Now let us sport us while we may; / And now, like am'rous birds of prey,
Rather at once our time devour, / Than languish in his slow-chapp'd power.
Let us roll all our strength, and all / Our sweetness, up into one ball;
And tear our pleasures with rough strife / Thorough the iron gates of life.
Thus, though we cannot make our sun / Stand still, yet we will make him run.
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