Methane (or any other gases) may or may not be present, but coal dust itself is combustible and explosive. Modern coal mines (I wasn't around before the present, sorry) have specific processes to keep the dust, and explosions, at bay.
Lack of oxygen can be an issue in any mine. The old trick of a canary in a coal mine was a response to this. It doesn't need to be explosive or flammable to displace oxygen, gases heavier than air will displace the cool stuff we live on.
In the mines I've been in, structural collapse was the biggest risk. All mines tend to dig out (undermine) the structure holding the planet in place so the risk is related to the earth/rock it's dug in and the shoring used to hold up what's not removed. In abandoned gold and gem mines, this can be rather dicey.
Anyone who has ever been in an abandoned mine during a tremor can tell you the short walk to the surface somehow stretches into a marathon and, no matter how clean your underpants were to begin the day, you're going to have to change them. Or burn them.
FWIW, the abandoned mines I've been in, Colorado Rockies and Black Hills in South Dakota, never extended more than a few hundred feet underground. Quite a few were more like 20 foot tunnels to crawl in. The easy gold and silver deposits were played out in a short distance. When you have to move 50 tons of rock by hammer and chisel, the reward has to be pretty high to make you keep digging.
Jeff