Customer concentration has a risk effect on the company. We need to find direct evidence of the impact of customer concentration on company risk so that investors can avoid potential risks. This paper uses the financial data of A-share listed companies in China from 2000 to 2020 to find that: (1) The increase of customer concentration will increase the company risk (2) When the market share is high, the company risk will be affected by the high customer concentration. (3) When the company's managers are overconfident, the company risk is greatly affected by high customer concentration; (4) Compared with private enterprises, state-owned enterprises with high customer concentration are less affected due to government support. This paper discusses for the first time the direct impact of high customer concentration on corporate risk, which will help enrich the literature on customer concentration and risk.