"If you are concerned about any material, check the Material Safety Data Sheet (MSDS). MSDS's are easily found on the web.
I do not recommend inhaling any oils! Used oils will have heavy metals from the engines. For new motor oils, don't worry about it:"
There are studies linking additives and chemicals used in refinement of motor oil to cancer. I do not know if it is a significant risk or how much are present in different brands.
I did notce that the MSDS does indicate that carcinogens are created from combustion of oils as would occur if used inside a gun, ecspecially a DI gun. However, this is likely to be the case with any oil based lubricant so gloves should be used for cleaning regardless.