A proverbial place to be that is not a good thing. In real life, thin ice is dangerous and may collapse under the weight of a person at any moment. As a play on words, "treading on thin ice" means you are doing something which might get you into trouble because you are in a very delicate situation that requires finesse of some sort. The slightest screw-up could mean all sorts of very bad things. Similar to being out on a limb, and not as bad as being up a creek.