Depressant dependence is difficult to shake without support and without treatment for the root causes of the addiction.
Withdrawal is likely to be safe when the dose of the substance is reduced gradually. People who develop withdrawal symptoms that get bad enough to require hospitalization have a 2% to 5% risk of death, a rate similar to severe alcohol withdrawal. However, most people get help before reaching that stage.
Since it is easy to overdo it with some of these drugs, the risk of accidental overdose is significant.
In general, formal treatment is likely to reduce the risk of relapse (returning to the addictive behavior).