It's hard to find statistics for indoor climbing, but for outdoor climbing there is a death for every 320,000 outings. If you go on two outings a week, your chance of dying is around 0.03% per year [1].
Getting the proper amount of exercise (compared to being sedentary), though, can decrease the total risk of year-over-year mortality by a factor of up to 4.5 times [2]. The overall risk of death for e.g. a middle-aged man is something like 0.2% [3], so any significant reduction to this factor compares very favorably with the risk of death from climbing.
So, basically, if your options are either a) be sedentary or b) get adequate exercise by rock climbing, it is better for your health to choose b. This comparison looks even better if you're doing only gym climbing (which is much safer than outdoor climbing).
[1] http://www.allclimbing.com/archive/2009/01/data-on-climbing-...