Security of connecting to CS:GO community servers

Is there any security consideration in connecting to custom (i.e made by community ) Counter-Strike servers ?
Can it cause any trouble (e.g downloading malware) ?
Has there been any problem so far ?

tl;dr: So long as your client is up to date, there should be very low risk of exploits when connecting to a community server.

If you are worried about possible exploits that a remote CS:GO server could use against your client, you should visit Valve's HackerOne page. It lists exploits that people have disclosed in Valve's products including CS:GO.

After a quick search there are a couple (1, 2) of disclosed bugs related to CS:GO, but both are resolved.

There may be other undisclosed bugs reported there, but I can't see anything that's open.

If there were any ongoing exploits that Valve knew about, it seems likely that they would inform the community if the bug was sever enough.

Remember, the first question you should answer when worrying about your information security: What is my threat model? When you know that you can make better decisions about what risks you can take.