Like Greek bonds. Dumb question of the day.
"Because risky assets are risky!" is not the answer.
Other things equal, I would prefer to hold a safe asset than a risky asset, because I don't like risk. But other things are not equal, precisely because other people don't like holding risky assets either. So risky assets are priced at a discount to safe assets, and so yield a higher expected rate of return than safe assets, and so some people are willing to hold some risky assets, despite their risk, and despite their risk-aversion. Every asset, even the most risky, is held by someone.
Those people who are relatively less risk-averse will hold relatively more relatively riskier assets; and those people who are relatively more risk-averse will hold relatively more relatively safer assets. It's all about comparative advantage, or comparative willingness to accept risk.
Do central banks have a comparative disadvantage at holding risky assets? Are central banks the widows and orphans of financial institutions?