Security Measures for HTML Anchor Download Feature

Forgive me if this is the wrong place to ask this. I’d just like to know if I need to explore security measures for the native HTML <a download> feature. What are some ways that this feature opens my website up to potential threats, and how should I mitigate those threats? Or (fingers crossed) have I nothing to worry about here? Please let me know if there is a better place to post this question.