However, you should be concerned with the risk of infection -- not just at the time of the piercing, but as long as you wear the jewelry and perhaps even longer. In some cases, piercing holes do not close, even after removing jewelry, leaving you potentially vulnerable to infection.
If you do experience anything abnormal in your breasts after piercing, like a breast lump or change in the appearance of the skin, do not assume that it is related to the piercing and does not warrant a visit with your doctor. Breast lumps always require medical evaluation, and an untreated infection can have long term health consequences. To monitor for these changes, women should do monthly breast self exams.
Most people with nipple piercings do not experience adverse health effects from their piercings. This is only true, though, if you go to a licensed piercing technician who operates under sanitary conditions, and if you are diligent and thorough about caring for your piercings.