Most of the clans are skeptical of us joining, so they may shrug us off if we say no, but Trikru may view us as ungrateful for refusing and Azgeda may see us as vulnerable without the Coalition's support and consider us as an easier target than we were before. Lexa wouldn't move against us for saying no, but Ice Nation is already gearing up for conflict. If they want us off the board, they might be more confident if we're not in the alliance.
Then again, they may gun for us BECAUSE we're in the alliance because they have problems with the Woods Clan and Lexa is Trikru. It's hard to say and it's safest to assume that we'll be up against Azgeda at some point no matter what.