When selecting a theme, much the same security concerns apply as with custom code / code hacks. Consider the choice of theme using the same check list found here : http://protectyourbusinessonline.com/security/custom-code-code-hacks/
There are many excellent well written FREE themes available to use but there are also some from very questionable sources.
Another consideration when choosing a theme is vendor support and updates. Free themes seldom have any support and are rarely updated. Going with a paid theme from a professional theme developer can ultimately save time and money if you need to make any modifications.
While not a security concern, any theme being used today should be responsive (mobile friendly). I also recommend that you select a theme that uses the parent / child model as it provides a much easier upgrade path should the theme be updated later to patch a security hole or add new features.