Not a danger... but sometimes truly annoying. I'm talking about the local beach boys... nearly all posing as tourist guides, veryy few being one. Generally speaking they take a polite no for an answer - but it's not always the case. Aa a rule of thumb you should look at them straight in the eyes: if they look spaced out they have been eating "miraa" - a hallucinating grass: in this case they'll be really insisting, obnoxious and annoying. If they look clean, they will not bother you at all. Some of them, actually, will be really friendly and helpful - like for instance our "friends" Nelson and Jonathan. it pays to be polite to them - they know everything and anything
Not really a danger but I found it really annoying was getting hassled by people wanting to take me on a boat trip. And everyone that approached me seemed to be called Captain Banana. One bloke said "it is not my real name which is Hassan and there are many Hassans in Malindi" well during my brief stay in Malindi I never bumped into another Hassan but met a boat load of Captain Bananas!