Long term exposure to the fog that comes out of fog machines can be bad for your lungs and cause respiratory issues.
If you have breathing problems already or have COPD or other lung issues then you should avoid being around a fog machine as it can aggravate your breathing issues and make it hard for you to breathe.
Most commonly the fog from a fog machine is created by vaporizing proprietary water and glycol-based or glycerin-based fluids or through the atomization of mineral oil.
This fluid (often referred to colloquially as fog juice) vaporizes or atomizes inside the fog machine.
Upon exiting the fog machine and mixing with cooler outside air the vapor condenses, resulting in a thick visible fog.
That Glycol can cause health issues when exposed long term.