itch.io

there can be many threats but its primarily leading to virus, hack, personal data leak, device monitoring etc . your IP (device ID) may get revealed to them. Normally when you click on the link it redirects (opens a new tab) to a web page. It may look like it is a download page but in secret they steal cookies from your browser for future use. it may auto download malware, malicious remote control program or simple/complex viruses. never set auto download in your device setting. If you get suspicious while downloading any small files do run in virus total site (www.virustotal.com) It is official site do run small to medium large files . In Itch.io the files you get are generally safe but if you download from a not so well known site,  they may add some dangerous files in addition to the game file so be aware. Finally there is a bunch of load way to get hacked but no need to work up for it just follow simple rules. don't download from unknown site, don't click or go to unknown site or download from it if u r not sure whether it is safe or not. Buy antivirus for laptop and in mobile its generally safe since hacking is easy in pc or laptop rather that smartphones.