The boring answer is that you should always be cautious about any device that you use with your computer.

Any device you plug into your computer, if malicious, can cause all manner of issues. From outright bricking your mobo to injecting malware. This is why you should never plug an unknown usb drive you find into your computer. Any keyboard is vulnerable to keyloggers and other snooping techniques.

With that said, is it likely? No, not really. It’s quite difficult for a keyboard to phone home unless it’s quite sophisticated, also you’re on Linux, most malware is for windows anyway. I’ve not really heard of this type of attack being used against individuals.

To be honest you’re probably not a target! If you work somewhere that a bad actor may want to target (the government, the power grid, military, a bank etc) and you want to use the keyboard with a work device or on the same network, then yes you should only use devices your IT team have approved to be safe. Otherwise for you at home, who isn’t being targeted by state level adversaries, a keyboard off the internet is probably fine.