We design scheduling policies that minimize a risk-sensitive cost criterion for a remote estimation setup. Since risk-sensitive cost objective takes into account not just the mean value of the cost, but also higher order moments of its probability distribution, the resulting policy is robust to changes in the underlying system's parameters. The setup consists of a sensor that observes a discrete-time autoregressive Markov process, and at each time $t$ decides whether or not to transmit its observations to a remote estimator using an unreliable wireless communication channel after encoding these observations into data packets. We model the communication channel as a Gilbert-Elliott channel \cite{10384144}. Sensor probes the channel \cite{laourine2010betting} and hence knows the channel state at each time $t$ before making scheduling decision. The scheduler has to minimize the expected value of the exponential of the finite horizon cumulative cost that is sum of the following two quantities (i) the cumulative transmission power consumed, (ii) the cumulative squared estimator error. We pose this dynamic optimization problem as a Markov decision process (MDP), in which the system state at time $t$ is composed of (i) the instantaneous error $Δ(t):= x(t)-a\hat{x}(t-1)$, where $x(t),\hat{x}(t-1)$ are the system state and the estimate at time $t,t-1$ respectively, and (ii) the channel state $c(t)$. We show that there exists an optimal policy that has a threshold structure, i.e., at each time $t$, for each possible channel state $c$, there is a threshold $\D\ust(c)$ such that if the current channel state is $c$, then it transmits only when the error $\D(t)$ exceeds $\D\ust(c)$.