It was dangerous high up in the air. Small countries would usually have no aerial defences, but casually entering a major country's air space would be the same as challenging that country's air defences and aerial knights.
But the most dangerous possibility was to accidentally enter a mage tower's defence zone. Even a dragon could die against a well-prepared mage tower.
High-quality mage towers would be capable of multiplying a mage's spells' strength by ten times over. A large-scale, high-circle spell would easily reach the scale of a small Forbidden Spell. It was quite common for mages to be able to slay dragons. This was also why dragons would still maintain a basic amount of respect for the mages.