Is there any risk in having sex with someone having blood cancer?

No. Blood cancer, or any leukemia, lymphoma or myeloma, is not sexually transmitted. You will be doing no harm to the person and no harm will be done to you.
Risk for whom? The trauma of sex may cause bleeding if the platelet count is low in the patient and the patient may be more susceptible to infections due to minor abrasions associated with the activity. There is likely no risk for the healthy partner.
Cancer not contagiou. Cancer can spread within one's body, but not to another person. So, as far as "blood cancer" is concerned, that should not a be a reason not to have relation. Bloodborn infections..Hiv/syphillis, and lowly-possibly hepc, and tissue/skin infections i.e.Herpes/hpv etc..Are of concern. So caution is advised about infections but not about cancer. If u r still concerned, consult your doc. Good luck.