The race to build artificial intelligence infrastructure is creating enormous new risks that could threaten financing for the data centers powering the artificial intelligence boom, according to Aon CEO Greg Case.

In an interview with CNBC Wednesday, Case warned that clustering billions of dollars of equipment and computing capacity in a small number of locations could make some projects difficult to insure, with consequences for developers seeking financing.

"If you create them and you build them on top of each other, you've created concentration risk in a way in which it makes it more difficult to get insurance," Case said.

"If it's more difficult to get insurance, that means the financing structure is going to change completely.…