Physical Danger
With inherent opportunities come inherent dangers. Libyan Ambassador Christopher Stevens was killed following an attack on the U.S. Consulate in Benghazi, Libya on September 11, 2012. And while this was a highly unusual occurrence, it was by no means the only time a diplomat has been killed in office.
You may be assigned to the most incendiary places in the world (the Middle East, for example, or certain parts of Africa), and although you'll live and work in U.S. protected areas, that doesn't mean you're always going to be safe from harm. Part of your job as diplomat is to get out there and meet the people and their leaders, and you can't do that behind a bullet-proof body shield.
Then again, there are jobs right here in the U.S. that put you in the path of possible harm: politician, firefighter, stunt performer. It's up to you to weigh the risks and benefits of being a foreign diplomat.