I don't agree with that.
Gwyneth Paltrow is amazing at physical comedy. I can't remember the movie but there's a scene where she's getting out of a cab and she just falls over and it's friggin' hilarious. No death in sight.
Certainly death, properly appreciated, is funny. The only thing more absurd than death is sex.
The reason physical comedy is so physically dangerous is that, generally, it's only funny if you go for it and that naturally causes injuries. Like playing football, or WWE wrestling. Half-assing it isn't going to be entertaining.