Overheating, which is more likely to result in fire hazard is one of the biggest risks you may encounter in plugging an extension cord into power strips. This may happen, especially if either one of the two cannot manage the power demand of your appliances. When overheating occurs, it could cause damages to wiring insulation and connection.
Aside from fire hazards, plugging an extension cord into power strips could also result in massive facility damages, loss of power, and electrical shocks that may seriously injure someone.
With that in mind, make sure to use power strips with surge protection. If you still want to plug an extension cord into power strips, make sure to use it for appliances with low power demand, including portable fans or work lights.