Not the steering wheel shake itself, however what is causing the steering wheel shake, can certainly be extremely dangerous and potentially cause you to lose control of the vehicle. **GET IT CHECKED OUT BEFORE THAT HAPPENS**
Many things can cause steering shake. Wheels out of balance. ( including rear wheels ) Tryes out of round. Worn steering components. Worn suspension components. Even loose wheel nuts/bolts. Get it checked out for safetys sake.