If its a space where you're not allowed to use outside internet that isn't filtered, you might get in trouble, as they can triangulate the location of the hot spot.
However, as long as you're using modern encryption for any WiFi communications (like obviously don't use WEP) I don't see any problems.
If your threat model is very severe than I would avoid doing so to minimize attack surface, but for most people, I don't think governments are actively trying to worm their way into their devices to such a desperate degree to be on the look out for any sudden opening such as the use of a WiFi hotspot.