There's a big difference between volatility and risk. Volatility is the magnitude of short-term price changes. Risk is the potential of permanently losing money.
"Uncertainty is not the same as risk. Indeed, when great uncertainty drives securities prices to especially low levels, they often become less risky investments." - Seth Klarman
Bonds are less volatile than stocks, but in the long-term they're just as risky. Long-term US Treasury bond investors lost 60% in inflation-adjusted terms from 1940 to 1981.
Inflation is the biggest long-term risk for bond investors. A 10-year Treasury bond