In this sentence you can think of "danger" as being the same as "possibility." The author is saying that there is DEFINITELY the 'danger' or 'possibility' that you will lose the thread, and that it is even LIKELY to happen.

It's not a phrase, its more of an abbreviated sentence. you can read it as '...there is the danger, if not a danger, then a likelihood, that you may...' In other words - the writer is saying that they think there is a danger, but if not that, or they are challenged on that, then at least there is a likelihood.