Is there any security risk in not sanitizing shortcodes in a wordpress site if I am the only one who has access to the admin panel?
You should always sanitize all inputs regardless of who or where they are coming from. Not only is it good practice (which helps ensure that you don't accidentally get comfortable skipping it and miss it elsewhere), but it ensures that that particular feature is secure in the future. For example, you may wish to expand upon your feature in the future or have editors join you. If you forget about fixing your security lapse, you could be in for some big trouble.
Bottom line: Sanitize all the things. It helps and never hurts. Also never trust your users, even yourself!