The only real danger is if you are in an enclosed space and oxygen is displaced. Nitrogen gas is about the least toxic substance imaginable and helium will literally just go away unless you make absolutely sure to trap it.
I can't find the study right now but I think this affect is even measurable at atmospheric pressure in that if you give replace the Nitrogen with other noble gasses you can observe improvements in cognitive function.
The amounts of energy injected are not that large. 1TeV, the order of magnitude, is (according to google) the motion energy of a flying mosquito. You don't even feel that landing on your body.
The special part is that this energy is put into one particle, which makes it able to achieve other interactions.
Such particles sound scary, but the only special thing about this is that we, humans, have produced that. Our earth is bombarded constantly by cosmic high-energy particles of much much higher energy [0]. I am talking about extra-galactic particles with energy levels unknown to earth.
The only real danger is if you are in an enclosed space and oxygen is displaced. Nitrogen gas is about the least toxic substance imaginable and helium will literally just go away unless you make absolutely sure to trap it.