There is nothing like the joy on a child's face when they open the perfect gift. But consumer advocates are raising concerns that some of this year's bestsellers may not be safe.

Just as household items like doorbells and cameras are going high-tech, so are toys. One example, is My Friend Cayla, a "smart" doll which asks children questions, and records their answers.

But The Public Interest Group (U.S. PIRG) is concerned Cayla may be used as a digital spy. At a recent press conference, PIRG demonstrated how Cayla's speaker can be used to listen in and talk to a child by hackers.

"The risk that a doll like My Friend Cayla poses is that she can be accessed with a Bluetooth connection without a password," said Mike Litt, a consumer campaign director for PIRG.

"So if a stranger is within distance of the Bluetooth connection than they can actually listen in on your child. They can talk to your child," he added.

The interactive doll isn't alone. Which?, a U.K. consumer advocacy organization, found security or privacy concerns with 5 additional connected toys.

"We're already seeing that more of these Internet of Things toys are coming onto the market," Litt said.

German regulators have actually banned My Friend Cayla, and at least one consumer group has filed a complaint with the Federal Trade Commission (FTC), which regulates children's online safety. Additionally, the Consumer Product Safety Commission (CPSC) is looking into Internet connected toys.

"We are just beginning to look into this and we're working with our sister agencies to see who should have which responsibility and who has the expertise to delve into that," said Joe Martyak, CPSC's director of communications.

Genesis Toys, which makes My Friend Cayla, did not respond to CNBC's request for comment. Still, there have been no incidents related to Cayla, according to The Toy Association, an industry trade group.

"Toy safety is the toy industry's number one priority and that's not just the physical safety of the toy, but the online safety of the child playing with the toy," said Rebecca Mond, the Toy Association's senior director for federal government affairs.