They're liable to deadlocks/livelocks, and sometimes not only with other explicitly Mutex-like things (it might happen some library you use has a lock hidden deep inside).
They're also often backed byOS primitives (with big overheads) with inconsistent behaviors between platforms (spinlocks, waiting etc). We've run into an issue with .NET, that their version of Mutex didn't wake up the blocked thread on Linux as fast as on Windows, meaning we needed about 100x the time to serve a request as the thread was sleeping too long.
There are questions like when to use spinlocks and when to go to wait sleep, which unfortunately the developer has to answer.
Not assigning blame here, just pointing out that threading primitives and behaviors don't translate perfectly between OSes.
Multi-threading is hard, other solutions like queues suffer from issues like backpressure.
That's why I'm skeptical about Rust's fearless concurrency promise - none of these bugs are solved by just figuring out data races - which are a huge issue, but not the only one.