There are enemies and peril already in the North of Middle-earth that Sauron would almost certainly infuse with his will and employ with terrible purpose if he had a reason to. Moreover, the distance from Rivendell to the Havens is not small - take a look at a map, it's nearly a thousand mile journey! - and there still would have been a need to move with secrecy.
Aragorn tells us a little about them:
‘If Gondor, Boromir, has been a stalwart tower, we have played another part. Many evil things there are that your strong walls and bright swords do not stay. You know little of the lands beyond your bounds. Peace and freedom, do you say? The North would have known them little but for us. Fear would have destroyed them. But when dark things come from the houseless hills, or creep from sunless woods, they fly from us. What roads would any dare to tread, what safety would there be in quiet lands, or in the homes of simple men at night, if the Dúnedain were asleep or were all gone into the grave? [...] “Strider” I am to one fat man who lives within a day's march of foes that would freeze his heart, or lay his little town in ruin, if he were not guarded ceaselessly.
(The Council of Elrond, The Lord of the Rings)
There were trolls:
Other wanderers were rare, and of evil sort: trolls might stray down at times out of the northern valleys of the Misty Mountains.
(The Lord of the Rings)
The birds and beasts were not all friendly:
It commands a wide view all round. Indeed, there are many birds and beasts in this country that could see us, as we stand here, from that hilltop. Not all the birds are to be trusted, and there are other spies more evil than they are.’
Remember, still west of the Misty Mountains, the company was attacked by a huge pack of wolves:
Suddenly Aragorn leapt to his feet. ‘How the wind howls! ’ he cried. ‘It is howling with wolf-voices. The Wargs have come west of the Mountains! ’ [...] A great host of Wargs had gathered silently and was now attacking them from every side at once. [...] ‘It is as I feared,’ said Gandalf. These were no ordinary wolves hunting for food in the wilderness. Let us eat quickly and go! ’
(The Lord of the Rings)
and crebain was observed, likely in service of the Enemy:
‘Regiments of black crows are flying over all the land between the Mountains and the Greyflood,’ he said, ‘and they have passed over Hollin. They are not natives here: they are crebain out of Fangorn and Dunland. I do not know what they are about; possibly there is some trouble away south from which they are fleeing; but I think they are spying out the land. I have also glimpsed many hawks flying high up in the sky. I think we ought to move again this evening. Hollin is no longer wholesome for us: it is being watched.’
(The Lord of the Rings)
There were also Men, allied with Sauron, scattered throughout the region: remember that the Company had just escaped, on the way to Rivendell, not only the Ringwraiths, but the Men working with them.
If these had been more than scattered forces and random attacks by enemies just happening to run into the party, instead determined attacks driven by Sauron's will, the Company would have been in real trouble. A small company of Elves against a 'host' of wolves that is no longer merely feeling them out, perhaps complete with some trolls, might be the kind of scenario they are thinking about - and in the time it took them to make the journey, the Nine would probably have time to return.
My heart tells me that Sauron will expect us to take the western way, when he learns what has befallen. He soon will. The Nine have been unhorsed indeed but that is but a respite, ere they find new steeds and swifter.
(The Council of Elrond, The Lord of the Rings)
The implication here is that Galdor actually expects the intervention of the Nine if they take the western road, before they get to their destination - and that is probably a reasonable supposition: if Sauron's spies determined that the Ring was headed west, he probably could have dispatched the winged Nazgûl much earlier, given that it appears he was simply holding them back for strategic reasons later on.
Galdor is also afraid that Sauron might launch an attack on the Havens:
Only the waning might of Gondor stands now between him and a march in power along the coasts into the North; and if he comes, assailing the White Towers and the Havens, hereafter the Elves may have no escape from the lengthening shadows of Middle-earth.’
‘Long yet will that march be delayed,’ said Boromir. ‘Gondor wanes, you say. But Gondor stands, and even the end of its strength is still very strong.’
‘And yet its vigilance can no longer keep back the Nine,’ said Galdor. ‘And other roads he may find that Gondor does not guard.’
(The Council of Elrond, The Lord of the Rings)
Given the context of this statement, it seems that Galdor is not merely commenting on the distant, future inevitable fall of the Havens, but the possibility that Sauron has already or will very soon launch an attack on the Havens. Remember that, only a few months later, Gondor would have fallen, and the Elves have no exact knowledge of the disposition of Sauron's forces; for all they know, the big assault leading to the fall of Gondor could be happening tomorrow, and they also have to worry about forces (that may already be) dispatched from Isengard up the North-South road. The other roads comment is perhaps key: how do they know that a naval force hasn't already been deployed to assault the Havens? It's pretty clear that Gondor's naval forces are utterly inferior to Sauron's, given Sauron's fleets were apparently completely unhindered by the men of Southern Gondor until Aragorn brought the Dead to bear against them.
Remember also that the Council was held very quickly, before they had obtained any intelligence beyond what the Council members already knew. They had not even ascertained for certain what happened to the Nazgûl. This happens over the course of two months after the Council is held:
‘Eight out of the Nine are accounted for at least,’ said Gandalf. ‘It is rash to be too sure, yet I think that we may hope now that the Ringwraiths were scattered, and have been obliged to return as best they could to their Master in Mordor, empty and shapeless.
‘If that is so, it will be some time before they can begin the hunt again.
(The Ring Goes South, The Lord of the Rings)