The risk is that it pays out, but what it pays out is less value than you paid in, due to inflation. It's effectively less money you're getting out, even though the number is the same. Sometimes inflation is so high that you would effectively get nothing back. You can't call that 'risk free.'

You also risk that the bond is not honoured - that's a really low risk for the US Government, but it's also not 'risk free.'