Disease risk prediction is highly important for early intervention and treatment, and identification of predictive risk factors is the key point to achieve accurate prediction. In addition to original independent features in a dataset, some interacted features, such as comorbidities and combination therapies, may have non-additive influence on the disease outcome and can also be used in risk prediction to improve the prediction performance. However, it is usually difficult to manually identify the possible interacted risk factors due to the combination explosion of features. In this paper, we propose an automatic approach to identify predictive risk factors with interactions using frequent item set mining and feature selection methods. The proposed approach was applied in the real world case study of predicting ischemic stroke and thromboembolism for atrial fibrillation patients on the Chinese atrial fibrillation registry dataset, and the results show that our approach can not only improve the prediction performance, but also identify the comorbidities and combination therapies that have potential influences on TE occurrence for AF.