People with milk allergies or sensitivities should not consume whey protein. It could cause an allergic reaction. If you have kidney disease, consult a doctor before using any type of protein powder. The dangers of whey protein include stomach aches and cramps when consumed in high doses.
Whey can cause a slight decrease in blood pressure, which, in a healthy person, is negligible. If you already have problems in this area or are taking blood pressure medications, lowering your blood pressure could be a cause for concern. For similar reasons, people taking blood thinners should talk to their doctor before taking whey.