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As others have mentioned, if they are made from paraffin wax (a petroleum-based product) they release toxins similar to those found in car exhaust.
It is now easy to find candles that are made with vegetable waxes that are very clean burning and do not release carcinogens.
The wicks are also important. Lead core wicks were banned in the US, but some imported candles may still sneak through. Zinc core wicks are also commonly used, and they may not be completely safe either.
So if you use candles made in the USA from vegetable wax or beeswax and 100% cotton wicks they will not contain any known carcinogens.