The only real concerns that come to mind are practical as well as legal. Make sure every bit of their site works when you move them. That means cgi scripts, forms, forums, etc. You'll likely have to change paths and more. For that reason, you may want to make preparations (creating duplicate scripts and forms with the new paths), and move a few at a time, testing them at the new location before you move others.
If you prepare and move with diligence, the move can be mostly transparent to your customers. Do tell them about it beforehand though, as some users will have problems for a short time due to DNS issues and you want your customers to be prepared for it. Telling them about it beforehand is the best way.