The main reason that preterm infants are considered high risk is because their lungs are immature.
Lungs develop as the airways bud and branch into an anlage of mesenchymal cells. Since respiration requires oxygen and carbon dioxide to cross over two layers of tissue (alveolar wall and capillary wall), these relatively thick-walled airways in preterm babies permit little gas exchange. High-pressure ventilation is required to assist the infant, and this pressure frequently results in the development of chronic lung disease (bronchopulmonary dysplasia).
In addition, there are too few alveoli present for efficient oxygen supply until 2-3 weeks prior to term. Lungs continue to grow and develop new alveoli for several years after birth.