This is not a formal term that I am aware of. There is a recognized term "control risk" which is associated with the loss (or maintenance of control), which is a little bit different.
If someone has used this term "controllable risk" I would imagine it would be a risk which we have some control over. For example, we may buy insurance to transfer some or all of the risk somewhere/someone else.
This would indeed imply there were uncontrollable risks. These would most likely be risks we have no control over such as the weather or what we refer to in contracts as force majeur.