Yeah, it is so hard for me to understand the logic here
Even you have zero down payment, you will still owe bank the money you have borrowed, which is the original purchase price (mortgage) , plus a lot interest. This fact doesn't change regardless whether or not your house appreciates or depreciates in future years. So, how can the down payment factor be reflected into the risk situation?
One possibility I can think of is: in a particular year as you think the house depreciates too much, you stop the mortgage payments and walk away leaving the "mess" to bank. Sure, the less the down payment is, the less the finacial liability ("risk"?) you have. But, do you still expect to get "decent" mortgage from bank after this incident? I would say this could be a life-time credit risk...
Of course, if you say there is an investment difference in terms of benefits or risks between house and other financial products, I would agree