Traveling through The Warp is fucking dangerous as hell since you are essentially travelling through hell to then pop out at your destination. Chaos Gods are given form and birth from these emotions. The Warp is basically an alternate dimension of psychic energy, it is constantly shifting due to the emotions and thoughts of other living beings especially those with psychic powers.
First, that caption is being a bit cheeky, it exaggerates a bit for humorous effect but not by much. Disclosure, my knowledge of 40k is not as in-depth as many others here.