Well, considering that Yubikeys can generate crypto keys (for SSH, PGP, etc.) on device, I assume it would be possible for a fake one to use a backdoored/weak random number generator so that encryption/authentication based on these keys could be broken...
Another potential attack (for those who use them to store keys created on another device), would be to have a way, for an attacker that would steal your (fake) Yubikey, to get back the secret key (which is normally impossible/hard on a genuine Yubikey).