Think of it as writing your log in password in a piece of paper since they both serve the same function. The risks associated with it are related to physical access to where the print out is stored, accidental snapshot (office pictures) and the like, in some odd cases even a print queue could allow to print a second time.
At the same time think of storing sensitive information in usb sticks, you may consider encrypting the files or the entire usb drive, but you are still prone to losing it.
Shoulder surfing is also a risk, if you need the piece of paper 5 times a day that's 5 times a day someone can be looking over your shoulder and writing down a couple of digits.
You are right in that this method of authentication is less secure, Im sure they faced a scenario where this was necessary but I would say unless you yourself are faced with that specific situation going with 2-step authentication methods is in general safer. For example, if you use your phone to receive a token, an attacker would need access to your phone, and would need to unlock your phone, which although not impossible it adds an extra layer of complexity.