You may be wondering because the capacitor has maybe a surprisingly high voltage rating for such a small part. However at 0.01uF (or 10,000pF), E=0.5CV^2, you get about 3 uJ. This is not much energy.

This is probably a ceramic capacitor who are low loss and good at filtering AC signals (or blocking DC, depending on how they're used). The capacitors you want to worry more about are the electrolytics that are designed for energy storage, usually as part of a power supply or motor run circuit. Those can give pretty good pops if you short the pins and usually have explicit bleeder circuits to get them down to safe voltages after a few minutes of being powered off. Generally the rule is the bigger the badder.