Is there an English equivalent for the Persian proverb "to play with tail of lion"

Playing with fire is similar. However, it implies only that the activity is highly dangerous (or foolish), but not necessary lethal.

https://en.oxforddictionaries.com/definition/play_with_fire

There is also sailing close to the wind - which means taking unnecessary risks. I'd guess this is also less serious than the OP's example.

http://dictionary.cambridge.org/dictionary/english/sail-close-to-the-wind

If someone is really endangering their life, we'd say they're dicing with death

https://en.wiktionary.org/wiki/dice_with_death

Don't poke the bear / Poking the bear

Urban Dictionary : A phrase of warning used to prevent oneself or others from asking or doing something that might provoke a negative response from someone or something else.