We should not be worried about creating a black hole becuase it is not likely that anything we do here on earth could create a black hole in space. A black hole is something that has such a strong gravititational pull that nothing can escape, including tiny particles and even light. There is still a lot of mystery surrounding black holes because they are so difficult to study.
Scientists do believe there are many black holes in the Milky Way galaxy, ranging from small stellar black holes to supermassive black holes. We should be more worried about close to a black hole rather than creating one.