Basically, three things:-

1) They're thicker than solid-state CF cards and therefore not all
cameras will take them - depends on the slot thickness.

2) Being miniature hard disks, they're fragile.

3) They have slower read/write times than solid-state devices.

4) They have a higher power consumption than solid-state devices.

When we bought 12 Nikon D1Hs back in September 2001, we ordered them
with 1Mb IBM Microdrives. At the time they cost us about 240UKP each -
the largest capacity CF card at the time was 256Mb and that would have
cost us about 700 quid !

Now they've basically been OK, but several have failed and have been
replaced with Lexar 40/80x Pro cards - which you can now pick up for
about 50-60 quid.

One particular Microdrive failed with one of my photographers' entire
day's work on and he was somewhat distraught. It was making a 'whirring
sound' that didn't sound at all healthy. I tried all manner of recovery
options at home, but it just wasn't spinning up for very long. As a
last ditch measure, I dropped it onto a hard floor from 5ft (they're
actually supposed to survive this, according to their tech specs....)
and then tried it - it worked just long enough to get the data off and
it now sits on my desk as a paper weight :-)

They don't particularly like cold weather, either.