1) The additional sense of security may lead people carrying pepper spray to take more risks, to travel through more dangerous places, etc. (risk compensation, a la bicycle helmets)
2) Few people who carry pepper spray have received appropriate training in its use, and even those who are appropriately trained will take a not-insignificant amount of time to retrieve and effectively deploy it;
3) The person using pepper spray is almost certainly going to fall victim to the pepper spray themselves, hindering their escape from the attacker;
4) The use of pepper spray is likely to anger an attacker, leading to an escalation in violence; even if the attacker has difficulty seeing as a result of the spray, they may still inflict an awful lot of harm on their victim;
5) In the worst case scenario, in fumbling to retrieve and deploy pepper spray, it may be snatched by the attacker and used against the victim.