Oh, I see Califrau has done a link.
I thought it was because balloons weren't biodegradable, but i've googled and found this. The main risk seems to be to marine animals and birds, who eat the deflated balloon.
I found this about the biodegradability.
"Latex (rubber) balloons may take six months to degrade but studies indicate that balloons floating in seawater deteriorate much more slowly and may retain their elasticity after 12 months. Foil balloons may take many years to break down, and may never fully biodegrade. Some rubber balloons are now marketed as biodegradable but these still take many months to break down and should not be released."