In this case the issue is that you need more and more precision for the FFT as the inputs get larger, or else you'll get the wrong answer. I think it ends up being an O(n log^2 n) algorithm. Still pretty good; worth knowing about for sure. The constant factor on the precision might be bad enough that you can trigger the problem for reasonable inputs if you're using floats (e.g. a million coefficients, instead of an octillion coefficients).
On the other hand, many algorithms and data structures have hidden logarithmic factors (e.g. hash tables, sorting) that we ignore [1]. YMMV.
1: http://blog.computationalcomplexity.org/2009/05/shaving-logs...