There's always a risk, as with any animal, that you could be exposed to certain germs and bacteria that could make you sick.
Ran a google search and came back with this article that goes over a lot of things I've never even heard of
I would definitely advise anyone to wash their hands or use hand sanitizer after handling their birds. They like to bathe in their own poo...
I’ve handled mine daily for the last 9 years I’ve had them and haven’t caught anything, but like @DiYMama540 said the possibility exists with any species so good sanitation is wise, not just for you but also for them. For example the common strain of strep that humans carry can be fatal to waterfowl from what I’ve heard.