No, its documentation does not say it is thread safe, therefore it is not.
Public static (Shared in Visual Basic) members of this type are thread safe. Any instance members are not guaranteed to be thread safe.
As to what can go wrong, think about what AddRange(newItems) does:
Now think what will happen if the above is mixed up with another call to AddRange() or even just a call to read an item.
Until .NET Framework 4.0, no .NET collections are thread-safe. You will then be required to lock it before you access it in your code Collections and Synchronization (Thread Safety).
On the other hand, .NET Framework 4.0 introduces the new System.Collections.Concurrent namespace which includes fine-grained Thread-Safe Collections.
Finally, if you can use .NET Framework 4.0, I strongly recommend you do so for what you need, otherwise, make sure to lock the collection each time you want to modify or access it.
Besides, a static collection should be thread-safe, but beware, as the members are not guaranteed to be.
EDIT #1
After further verifications due to Steve Townsend's comment, I admit that there are three thread-safe collections within the .NET Framework starting with version 3.0:
I apologize, I just learned their exitense myself. =)