The statement, "A life without challenge and risk is not worth living", is true to a certain extent for most people. However, some people are quite happy to have challenge-free and risk-free lives because of fears and other concerns they may have that are particular to them.
To say that it is not worth it for them to live life like this is too sweeping of a statement. I certainly enjoy challenges in life, especially as concerns my career. I also enjoy taking "calculated" risks to reap certain rewards. Haphazard risks without thinking of the consequences can certainly come back to bite a person and make their life "not worth living" to a certain extent because of major tragedy that has resulted.
Healthy challenges and risk designed and acted upon to further one's growth as a person, physically, intellectually, and spiritually, are definitely something to undertake. This does make life more exciting, creative, productive and plain old fun.