As others pointed out, when you buy/sell futures, you risk counterparty risk. But it's not that bad because that exchange is really good and people entering the market pay margin calls every day.

There is also a financing cost (ie. the cash you use to pay for your margins, transaction costs, and to buy the bitcoins will not pay you any interests over the time of the position). But again, the effect is not very large.

What really makes arbitraging bitcoin futures difficult is the illiquidity of bitcoins. "Simultaneously" is a hard thing to do in bit coin world where transaction are slow to process and price is very volatile.

And you not only need to do this when you buy into the position, but also when you want to end it. At the end of the contract, you're left with a bunch of bitcoins, and some cash (or not). Now you need to liquidate all those remaining bitcoins. This could take some time, and the price you get in the end could be quite different from the price the future settled into.

That said, the difference between future and spot is likely to become closer as the market professionalizes and more arbitragers get in.