Three reasons for me:

* It disconnects more than once per day, requiring me to enable the wifi hotspot again on the phone

* The phone gets very hot

* It is slower than usb tethering: In my measurements, I get about 4MByte/s over USB and around 2MByte/s with wifi, though I'm not too confident in the results. According to the mobile provider, I should get 10.

EDIT: A fourth one is that the wifi hotspot leaks my first name and phone brand to everyone in the vicinity.