Polymer clay, once baked, converts into a plastic material (thus, the polymer name). Plastic can't be cleaned with alcohol (it would break it down) and it can't be autoclave sterilized. It can also be rather porous, even if you don't see them, and those little impurities can be the basis for a bacterial nesting ground.
That being said, it's not necessarily "dangerous" to wear polymer clay jewelry, but they should be washed thoroughly with warm soap and water before putting them in and you should only wear them for short periods of time. Then your piercing should be washed thoroughly when you remove them.
Also be aware that polymer clay is sometimes treated with a coating to give it a sheen or to smooth out the impurities. Depending on what the coating is, it could conceivably cause an allergic reaction.

Comments
Polymer clay is PVC plastic based which is non-reactive with alcohol; in fact it is sometimes dyed with alcohol ink (before or after curing).
The bad reaction between alcohol and plastic is crazing which only happens with some thermoplastics, not PVC and alcohol. PVC is not a thermo plastic. Acetone (the active ingredient in nail polish remover) dissolves some thermo plastics into syrup (that can then be used to mold new plastic parts).
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