And, like all software, VMware occasionally has vulnerabilities. These can be exploited, causing the host OS to crash, or even used to run code on the host OS. Although only few public tools or well-documented ways exist to exploit VMware, vulnerabilities have been found in the shared folders feature, and tools have been released to exploit the drag-and-drop functionality. Make sure that you keep your VMware version fully patched.
And, of course, even after you take all possible precautions, some risk is always present when you’re analyzing malware. Whatever you do, and even if you are running your analysis in a virtual machine, you should avoid performing malware analysis on any critical or sensitive machine.