It's clearly safe to create a savings wallet offline with a live CD, as no data can be sent to an attacker even if the live CD image is compromised (which seems unlikely).
However, when it comes to sending a transaction from a savings wallet, the client must be connected to the internet, so the risk increases. If you create a live linux CD, with an OS such as Ubuntu, it is out of date within a fairly short time of it being created as the live CD does not receive the latest patches that a permanent installation normally receives.
Presumably this means there's a chance (however small) that when you use the live CD and connect to the internet a security hole will exist that can be exploited to steal your wallet and wallet passphrase next time you enter it. How big is this risk? (Am I just being totally paranoid?!)
The severity of the risk is obviously a difficult thing to determine in the context of all possible live CDs, so perhaps a better question is this, if the first one is too difficult: have there previously been any security holes in live CD releases that allow an attacker to remotely control the computer?