Step 1: Recall the factors affecting the safety of a coal pillar.
The factor of safety (FOS) is
\[
\text{FOS}
=
\frac{\text{Pillar Strength}}
{\text{Pillar Load}}.
\]
Step 2: Identify the effect of increasing depth.
As the mining depth increases, the overburden load acting on the coal pillar increases, thereby increasing the pillar load.
Hence, the factor of safety decreases.
Therefore,
\[
\boxed{\text{Increase in depth}}
\]
is the correct answer.
Thus,
\[
\boxed{(B)}
\]
is the correct answer.