Depends. The main risk is if infection is present in the space between the lung and the chest wall (pleural effusion) or the heart and the lining of the heart (pericardial effusion). If the patient is having fever, chills or night sweats the fluid should be drained to exclude active disease/infection.
See below. A thoracentesis is done for pleural effusions; a pericardiocentesis is for a pericardial effusion. The risks would depend on what the underlying cause is. Typically, if the effusion is transudative (not inflammatory) the risk is small, unless it is causing shortness of breath. If it is exudative (inflammatory), the risk is much larger if it's not drained, especially if it due to infection.