The question, as stated, is an offshoot of Pascal's Wager. More specifically, the question is assuming that the assessed risk is legitimate.

It would be like asking, "What if you are wrong about there not being a monster in your closet?".

Well, then I would get gobbled up by the monster in my closet.

Admitting that the consequences to being wrong would be bad does not mean I should build an altar in front of my closet door, sacrifice animals to appease the monster, pay 10% of my income to have professional anti-closet-monster priests bless my room, and end all investigation into determining whether there in fact is a monster in my closet.

Instead, I will investigate the matter, and if no evidence supports the claim, not believe it. It would be silly to take steps to mitigate a supposed danger that, for all intents and purposes, is not demonstrably real. We do have better things to worry about.

People in our society do not fortify their houses, or take defensive actions, against Tyrannosaurus Rexes running around, because no evidence exists that indicates that this is a problem. And yet, we have far more evidence that Tyrannosaurus Rexes existed than an afterlife, let alone a bad afterlife.

Additionally, those who ask this question are usually ignoring other possibilities to be wrong about. For instance, frequently Christians will ask the question in regards about their god, without realizing that Muslims would be asking the same thing about the Muslim god.

Instead of a vast multi-connected unsolvable network of every person asking every other person "What if you're wrong?", the important, relevant question should be asked.

"Do any of you have any evidence for your claims?"