I'm not aware of any damaging fumes produced by dessicant. A moist storage environment, on the other hand, poses risk of triggering "
bronze disease" on bronze coins. Dessicant is probably a low risk compared to the risk of moisture.
If you are concerned, there may be other ways to manage the environment depending on where the coins are stored. A dehumidifier, for example. However, dessicant may be better-suited to managing the "microclimate" that could form inside a closed coin box.