Why do all big teachers warn against doing Yoga without a guru?

[MM1988]

I'm a slightly depressed person and I just started getting serious with my Kriya Routine after 1 year of daily meditation. But everywhere I research I see people like sadhguru warning against this kind of thing. I dont think Leo has enough experience with it to simply recommend these techniques to people. 

 

The bottom line is I want to grow and not make my mental state worse. How safe is it really? I mean on one hand its ridiculous why should sitting or breathing in a certain way would be dangerous but why all these warnings then?