Is It Really Risky to Keep a Mortgage?

Dave ramsey recently did a video on paying off mortgage early. And he mentioned risk as being a factor people don't take into account. Is it really risky to keep a mortgage for 30 years? I'm always surprised when see this question, cause i see it all over immediate and it seems like everybody thinks this is a contentious thing. It's crazy for 20 somethings to be trying to pay off that interest debt when they're not funding 25 % towards their future and investing that money. That's a much easier decision for me et al.