TY the Tasmanian Tiger

There are a total of 3 danger arenas that you can unlock throughout the main game. These levels will appear, one in each zone, and you will have to unlock them by completing them via the level they are found in. Once you beat the third level, this will unlock. An easy way to get this is by having a friend who unlocked them all challenge you in them, and even if you have not unlocked the specific danger zone, it will unlock it via the challenge for you so you can try and beat them all that way.