Yes, there is that risk. It also really depends on where you live. Where I used to live in San Francisco, I let them outside in our small back area, and they never got fleas or mites etc. But now in Alameda, where the backyard is bigger and where more wild animals,(raccoons & possoms) and other cats come and go more easily. They were outside only once and they ALL got fleas. (however, it was in the summer/falll, fleas usually are less in the winter months) And we recently took in an abandoned cat, and since he is an indoor/outdoor cat for now, he has to get regular treatments of Advantage otherwise he will bring in fleas over and over.
I think the difference between where I was, in the city, was that everyone’s area is so sectioned off, that they don’t get so much animal traffic, and parasitic stuff is less likely to spread. Also, raccoons can spread diseases via there urine.
I know of people who have made their backyards great places for some outside exercise, but they either don’t have flea problems in their area, or they have sectioned it off in such a way that makes it difficult for other animals to visit.
I found some HRS articles about options and advice about outdoor exercise. I found it very interesting and learned a bunch of stuff too! http://www.wisconsinhrs.org/Articles/Taking%20in%20the%20Outdoors.htm