No, there's no risk.
First off, the tank will never "explode." There's a fail-safe plug-valve built into the nozzle that will fail if the pressure ever gets too high. It will ruin the valve assembly, but it will prevent an explosion.
Secondly, the tank is designed and tested to withstand pressures at room temperature. Storing it cold (i.e., inside the fridge) lowers the pressure in the tank even further, but it's built to handle room-temperature pressure levels under normal circumstances.
I store mine inside the fridge just because I'm too scared to drill the side of my fridge. I've read too many horror stories about people ruining perfectly good fridges by drilling and hitting a cooling coil, releasing all the coolant.