1. Limited range. There's no natural gas infrastructure in most places so you could only fill up at home.
2. A gasoline tank leak is bad but the risk is relatively limited. A natural gas canister leak has potentially catastrophic outcomes.
3. You usually need to insure the CNG kit separately because your existing policy won't cover its value.
4. Your total insurance costs will likely be higher, and potentially by a lot. Moreover, your carrier may reject the modification entirely and you'd need to find a new insurance carrier.
5. The up front cost is probably not low enough to save you a lot of money in the long run versus trading in for a gently used hybrid or electric vehicle.
There's really no benefit of CNG over electric at this point.