This idiom or expression means:

On risky grounds.
In a dangerous situation.

When someone says “You’re walking on thin ice,” they mean “What you’re doing is risky. You should be careful!”

A. I’m dating my boss’s daughter, and he doesn’t know!
B. You’re skating on the thin ice corner of the lake, stupid!!

Also:
Slippery slopes.
Slippery grounds.

Also see:
Walk on eggshells.