From a Calvinist's viewpoint, why? How does this statement have any meaning to a Calvinist? We are either Elect, or reprobate--correct? If we are Elect, we WILL go to heaven--OTOH if we are reprobate, we WILL go to hell. There is nothing we can do about it. So--
Why is it dangerous?
To use the doctrine of predestination to say "But why?" is to make the very mistake which an irresponsible reprobate would predictably make. Please be careful here!
The reason why I say that it is a predictable mistake is because it is the very question which Paul anticipates and answers in Romans 9:19-20.
The fact that you posed this question as an objection against the Calvinistic interpretation of Romans 9 is an independent witness that we Calvinists are reading Romans 9 correctly. And Paul is warning you in particular about the problem of doctrinal hard-heartedness.
God takes the credit as the first cause of all things. This is part of what it means to be Lord. You really do need to confess this. "In Him we live and move and have our being," and "He upholds all things by the Word of His Power." This idea that God is the first cause of all things in matters of salvation and damnation is clear in Romans 9. But it goes without saying that you take the blame as the efficient cause of all of your own wickedness.
(When God hardens your heart, it proceeds according to mechanisms of your own wickedness. You need to confess that about your own sinful nature. The idea that you are accountable to God for your actions and attitudes is another aspect of confessing His Lordship. It's just outside the scope of what Paul is emphasizing in Romans 9. He is talking about the predestinarian side of reality, not the free agency side of reality.)