Agile software development has gained widespread acceptance and adoption by a broad range of organisations. Research to-date focuses on the positive gains from Agile adoption while the possible software risks have been largely overlooked. A recent failure case of a large Agile project invites a balanced view of Agile development and consideration of risks management. As a first step towards Agile risks management and in the absence of previous research on Agile risks, this research is exploratory and aims to identify the risks of Agile software development. To this end, qualitative data was gathered through 141 face-to-face interviews with Agile software developers, scrum masters, Agile project managers, CIOs and consultants. The analysis reveals surprising risk factors that are different from the traditional risk factors identified in traditional software development environment. To our knowledge, this study is the first that identifies the risks factors involved in Agile software development and we hope it paves the way for a more balanced view on Agile software development