Hey man, first bad answer I see you give.
Must be the forum colors 
I Also 100% disagree on this whole thing.
Spend a couple months learning about modeling and creating your own stuff and you’ll never have to wonder “why” about any asset you get from someone else but that’s besides my point right now.
@op
The FBX file format, like anything else really, is not 100% secure.
There are always new exploits going around and you should never really 100% trust something you download from online anyway. Not even the big stuff from a legit publisher. Just as a rule of thumb.
There’s plenty of exploits for fbx. The latest I know of
https://nvd.nist.gov/vuln/detail/CVE-2019-7366
Obviously, it depends on how you open the file.
Importing it into Ue4 or with blender you are usually OK. The softwares will generally parse stuff they don’t understand out.
Still, before opening anything, you should always run a virus scan on the zip/rar or FBx.
That’s just kinda common sense…
Whatever your favorite suite of anti-virus, including windows built in c.rap, should easily catch any problem FBX, Jpg or anything else that may have come with the purchase or free download.