That gets you blacklisted on email service providers so you risk missing order confirmations etc.
I've actually pinged a couple of services to let them know that spamming me is a security vulnerability, because they loose their ability to contact me.
Let's say you often buy on Amazon (or any other online shop), they send you a newsletter. If you mark it as spam instead of unsubscribing, you could be losing some of their emails you'd want to see (order confirmation, response to a message you sent them, etc).