Connections are dropped all the time, and then your code, on both client and server, need to account for retries (will the reconnection use a cached DNS entry? how will load balancing affect long term connections?), potentially missed events (now you need a delta between pings), DDoS protections (is this the same client connecting from 7 IPs in a row or is this a botnet), and so on.
Regular polling great reduces complexity on some of these points.