The only real concern is vapors from toxic substances that are found in some glues, like Barge Cement, or things like lacquer finishes.  I have a 3M vapor rated respirator that I use for that or airbrushing.  Most everything else is fine, although some folks are sensitive to spirit dyes.  As was mentioned before, ALWAYS wear a respirator while sanding leather.  You don't want that stuff in your lungs.