From a thermodynamic viewpoint, it is almost possible to utilize all permanent gases as a working fluid for closed-cycle gas turbine energy conversion system. However, this possibility could be limited due to several criteria, some of which are dictated by both technological and economic requirements. This paper provides a risk assessment on possible uncertainties and operational challenges for selected working fluids such as helium, carbon-dioxide, nitrogen and air, which could impact on the closed-cycle gas turbine technology. The risk assessment presented in this paper is described in two parts which include; technological and financial risk. The technological risk gives an assessment on the effect of the selected working fluids on components material technology, turbine entry temperature, and fluid management system while the financial risk aspect gives an assessment in terms of system cost implications influenced by the working fluids and the impact of legislation on investment decision. The overarching discussions from this paper show that helium has an advantage of a possible compact design which could undoubtedly be important cost savings, however, due to government policies on its availability, the operational cost for using helium could make it a huge disadvantage compared with other working fluids discussed in this paper.