Macros escritas com intenções maliciosas podem danificar seu computador, da mesma forma que qualquer malware.
Aqui está um artigo do Boston College sobre o assunto.
Do artigo:
ABOUT MACROS AND MACRO VIRUSES
A macro is a series of program commands
or instructions designed to simplify repetitive tasks within a program
in the Microsoft Office suite (such as Microsoft Word, Excel,
PowerPoint, etc.). Any operating system can receive a macro virus,
even Macs, as long as you have Microsoft Office installed on it. A
macro virus is a virus that is created by using the built-in macro
programming language, designed to execute as soon as the file is
opened. It attaches itself to a document file and waits until an
application like Microsoft Word opens it.