What is the theme of the poem "The Story" by Karen Connelly?

One theme that runs through "The Story" is that, while taking a risk is often considered in positive terms, there are inherent and varied dangers in doing so.
The speaker begins by saying that humans are all swimming around in the metaphorical ocean of life—most of the time staying in safe, shallow water. Eventually, however, the speaker narrates in second person ("you") how the reader will take a risk and leave these safe shallows (i.e., dive into "deeper" waters, not knowing what dangers lay beneath the surface).
The speaker states that there is an awareness of the dangers of this risk-taking:

You know you are a foolFor having come this far.You know you could neverSwim fast enough

And often, the speaker states, we find that our fears are over nothing. The thing we are afraid of is simply a piece of drift wood or even a dolphin that was "lurking" out in the waters of life (metaphorically representing things that at first seem dark and menacing but which actually turn out to be benign or even friendly). But if we return to the first stanza, we can see that it isn't always something so nonthreatening; we have "scars" to prove that the risks we take sometimes have serious physical or psychological consequences.
In the end, the speaker says that we humans are most afraid that we will destroy ourselves and be "eaten alive" in the dangerous depths of life that we enter "willingly." The poem asks readers to reconsider the idea that risk-taking is a favorable personality trait; while life must be lived in the deep part of the ocean sometimes, it is also natural to fear what one may find there through our own willing choices.

The overarching theme of this poem by Karen Connelly is the fear all humans experience every day of our lives, due to the fact that life is a great unknown and we can never be certain of what is going to happen to us. Indeed, Connelly suggests that the only thing we ever really own, "beyond a shadow / of a doubt," is this fear that something will tear us apart as a result of something we have "willingly" done.
Connelly uses the extended metaphor of the ocean to represent the vastness of life with its unplumbed depths. Each of us, she says, carries his or her own story of "scars and ocean," because it is never possible to know what is below us in the deeper parts of that ocean which represents our lives. As humans, we are small and insignificant creatures; our arms are "thin," suggesting that we have little ballast to protect us against the tide. We are always afraid that we cannot "swim fast enough," and that unknown things are approaching us from all sides, set upon doing us harm.
Often, of course, these things we fear turn out to be nothing—just driftwood, or something as innocuous as "a dolphin." But despite the fact that many of our fears in life, as in the ocean, turn out to be unfounded, the fact remains that life is vast and unknowable, and so the fear remains with us. We enter the unknown willingly, but we are always afraid of what it may hold.