A recent disclosure during Coinbase's earnings report revealed that not only did they have a quarterly loss of $430 million and a 19% drop in monthly users, but in the event they collapsed or went bankrupt that users' funds could be used as collateral for creditors.
Basically the $256 billion in fiat and crypto they hold on behalf of its customers would be withheld and inaccessible to anyone who deposited funds.
If you hold any crypto or NFT's on exchanges, be aware of other counterparty risks