A) Added overhead to the backend
B) UX - if you some filters but not the one(s) I want or need, then I'll get frustrated. No filters at all won't set me up for that. For example, eBay's filters are good for some types of products but not others.
C) A and B combined. I've noticed that some filtering UX - Home Depot, I believe is an example - will update the count of the # of products matching your filters. Check a box...wait. Check another box...wait. Fat finger the wrong box...wait...uncheck...wait.
I'm not saying these are reasons to not use filters, only pointing out some friction.