If you're referring to keeping geckos as pets, like all reptiles, amphibians and birds, they come with a small but finite risk of contracting salmonellosis. Having said this, the infection is easy to avoid if you maintain basic hygiene.
On a personal note, I know dozens (perhaps hundreds) of people who keep or have kept reptiles as pets and have yet to meet anyone who contracted salmonellosis. Basically, if you wash your hands after touching the gecko, keep it away from food preparation areas and don't put the lizard in your mouth, you should be fine.
If you're talking about geckos living free in your home, as is common in many tropical places, I have never heard of any health risks associated with them. If anything, I would think that the geckos would _reduce_ health risks by eating insects such as cockroaches and mosquitoes that are prominent disease carriers.