One of the strongpoints of Markdown is that the browser doesn't do anything with it. Therefore it's safe to just send it to the client.

If browsers started supporting Markdown then they'd inevitably extend it with autoloading resources. This would lead to Markdown XSS attacks. This would lead to developers needing to sanitize all markdown from untrusted sources, as well as scanning blocks of text for inline markdown that could cause problems.

That sounds like a stretch, but it's a well worn path.