They do not lead to optimal solutions at least cost.
They require policing, which can be costly or difficult.
The regulatory power can be perverted by those to whom it applies, and be made less strict or diverted to generate income to their benefit.
As time passes, regulations become increasingly complex in order to cover all cases, or to counter-evasive actions.
They generate side effects or unexpected consequences in other areas.
They can be an obstacle to technical and organisational change.