See this article on the 9News website from Colorado. Apparently a mountain lion/puma can enter through your doggy door. If you live in a rural area you might want to think twice about having such a portal to your house.
If a dog can enter, so could a coyote. I've also heard of raccoons and the like entering through these. All of these would be unpleasant but a mountain lion is a real threat to humans; something that kills deer for a living can kill you too.