You are correct--there is no such thing as "risk free". By convention, we mark our zero point at the risk of sovereign bonds. It is the smallest risk everyone in our economy agrees on a level for. It still contains "risk". But it's a convenient--and practical--reference point.
The analog in Bitcoin would be getting your transaction committed to the blockchain. It's still "risky". (Quantum computers could break the encryption!) But it's a convenient--and practical--zero. (You'll notice the advantage of a currency backed by a debt-like obligation. Interest rates come as a first-class function. There is no "risk free" borrowing rate in Bitcoin.)
Between these zeros, an arbitrage would require, simultaneously, committed transactions on the Bitcoin ledger and immediately-available funds in an FDIC-insured (or analogous, e.g. SIPC) account. That is not something exchange-based trading, which involves depositing U.S. dollars and/or Bitcoins with the exchange in exchange for an IOU, permits.