They won't touch corals, but there is the potential to go after other invertebrates and small fish. I'll be honest in that I've never seen one actually do it, though. Making sure it is fed will help a lot.
I didn't actually see him do it, course, I never actually SAW him at all, once I let him out of the bag, but I did lose several small gobies - that slept in the sand - before I decided to take my tank apart, catch the lobster & take him in to my LFS for credit.