They are not really capturing neutrinos in the sense you seem to be thinking of, and they pose absolutely no danger to anyone.
There is a massive flux of neutrinos passing through the earth (and you personally) all the time. But they almost never interact: they just pass through as though the earth wasn't there. Neutrino detectors therefore have to be both very large ( to capture as many interactions as possible) and very isolated from noise (so that the few interactions they do see can be seen above the background radiation levels). Hence they tend to be under water, deep under ground, or under ice to reduce the background radiation they detect.