A collective-risk social dilemma implies that personal endowments will be lost if contributions to the common pool within a group are too small. Failure to reach the collective target thus has dire consequences for all group members, independently of their strategies. Wanting to move away from unfavorable locations is therefore all but surprising. Inspired by these observations, we here propose and study a collective-risk social dilemma where players are allowed to move if the collective failure becomes too probable. More precisely, this so-called risk-driven migration is launched depending on the difference between the actual contributions and the declared target. Mobility therefore becomes an inherent property that is utilized in an entirely self-organizing manner. We show that under these assumptions cooperation is promoted much more effectively than under the action of manually determined migration rates. For the latter, we in fact identify parameter regions where the evolution of cooperation is incredibly inhibited. Moreover, we find unexpected spatial patterns where cooperators that do not form compact clusters outperform those that do, and where defectors are able to utilize strikingly different ways of invasion. The presented results support the recently revealed importance of percolation for the successful evolution of public cooperation, while at the same time revealing surprisingly simple ways of self-organization towards socially desirable states. ; Comment: 8 two-column pages, 7 figures; accepted for publication in Physical Review E