Agile software development methods are widely used by software organisations, focusing on short developmental life cycles and customer satisfaction through the iterative and incremental development of software products. Despite their popularity, these methods present risks that may be underappreciated. This paper examines certain risks attributed to agile software development, with a focus on the lack of documentation, scope creep, technical debt and job satisfaction. Through the application of a multivocal literature review, we find that agile software development can greatly benefit projects. However, when agile methods are implemented inappropriately or sub-optimally, projects risk over-spending, delayed or defective software, employee turnover, and overall decreased productivity. Understanding the risks associated with agile software development can help practitioners to achieve higher efficiency and success in their software development projects.