Absolutely. If your partner is a woman and is not on hormonal birth contro or does not have an IUD anal sex is not free of pregnancy risks. Essentially, if after the intercourse the semen splashes onto the vulva (and that is pretty easy due to the shape of our body) a pregnancy can start.
Even if you are having sex with a man, or if your partner is using another reliable birth control method (or you are trying to conceive), the anus is rich in bacteria that may cause you a nasty infection. These are not necessarily the traditional sexually transmitted diseases: we are talking about urinary tract infections, prostatitis etc.
