If you happen to get some oil on your engine then the heat of the engine could eventually cause the oil to catch on fire.
If the oil has gotten on any part of the exhaust where it gets even hotter then when you're driving down the road the engine bay could catch on fire if there's enough oil getting onto the exhaust.
If you spill some oil on the engine or exhaust you should wipe the oil up the best you can and spray some grease remover on the engine or exhaust and then wash the engine off to get rid of the oil.
It's not worth the risk of burning up your car or possibly getting burnt up yourself.
Whenever I spill a bit of oil onto my engine I always clean it off to prevent a fire as it can and does happen.