Rockfalls evolve rapidly and unpredictably in mountain environments and can cause considerable losses to human societies, structures, economical activities, and also natural and historical heritage. Rockfall risk analyses are complex and multi-scale processes involving several disciplines and techniques. This complexity is due to the main features of rockfall phenomena, which are extremely variable over space and time. Today, a considerable number of methods exists for protecting land, as well as assessing and managing the risk level. These methodologies are often very different from each other, depending on the data required, the purposes of the analysis, and the reference scale adopted, i.e., the analysis level of detail. Nevertheless, several questions still remain open with reference to each phase of the hazard and risk process. This paper is devoted to a general overview of existing risk estimation methodologies and a critical analysis of some open questions with the aim of highlighting possible further research topics. A typical risk assessment framework is exemplified by analyzing a real case study. Each step of the process is treated at both the detailed and the large scale in order to highlight the main characteristics of each level of detail.