The major risk associated with GMOs is due to the lack of "familiarity". This term means that if natural breeding product are similar to each other ("familiar"), GMOs aren't - and this is especially true in the cases of crossing between plant and animal genes.
This is a generic known principle which also applies to completely natural phenomena, like the introduction of the cold virus in central America in the XV century. So - lack of familiarity can introduce severe disruptions in the ecosystem.
This said, we do not know if there are any real risks with GMOs. But entities like the European Union have decided to take a very careful approach due to the possible consequences.
where there is a threat of significant reduction or loss of biological diversity, lack of full scientific certainty should not be used as a reason for postponing measures to avoid or minimise such a threat
Furthermore some direct risks are the following:
The ecological probabilities of harm focus on weediness, spread of the transgene by either vertical or horizontal gene flow, and the potential for any unintended, or pleiotropic, effects.
To know more you can refer to the following (presumably peer-reviewed) very complete and referenced paper: