I know that they have started forest fires out west and I believe some countries in Asia have had huge housing fires from them. From what I am reading they are banned in New Hampshire.
for Immediate Release
December 21, 2012 FOR MORE INFORMATION CONTACT:
State Fire Marshal J. William Degnan
NH State Fire Marshal’s Office
33 Hazen Drive
Concord, NH 03305
603-223-4289
Releasing of Sky Lanterns prohibited by NH State Fire Code
Concord, NH - NH State Fire Marshal J. William Degnan announced today that his office is releasing a technical bulletin prohibiting the release of sky lanterns in New Hampshire. These paper miniature hot air balloons also known as Kongming Lanterns or "wish lanterns" have grown in popularity. Due to the increase, Degnan's Office has seen more incidents where these devices have caused fires in the state.
Fire Marshal Degnan has determined that these devices are considered to be recreational fires according to the NH State Fire Code. "Recreational fires must be attended at all times," Degnan said. "Once you let go of the balloon, it is no longer attended." If the balloons are tethered in some fashion then they are permitted to be used.
One of the popular places to light these balloons is at the NH Motor Speedway during race week. Deputy State Fire Marshal Robert Farley who heads up the fire safety detail from the state at the speedway has seen hundreds of these balloons. "We have seen lots of these devices in the air and we find them all over the place with clear evidence that they were burning when they landed," Farley remarked. "We have evidence that these things have actually started fires on private property around the track." Farley also said that they create a littering nuisance and a potential hazard to animals and small children because of the wire frames.
Unless tethered, releasing sky lanterns is considered a violation of the NH State Fire Code
There is also this site for more information on them.
http://balloonsblow.org/flaming-litter