- Rain (possibly solvable with a bag of some sort, but this becomes increasingly complex, consider locking).
- Locked bikes are annoyingly often bashed slightly. My bike can take the abuse, but a bashed up helmet becomes even more useless, sometimes without even showing it.
- Makes locking the bike substantially harder. If I don't want my helmet stolen I'd have to lock it through the actual helmet and not the straps. That would be a pain in the ass with a ulock (and other lock types are considered even less secure for the bike).
Edit - I’m not saying I support laws enforcing helmets for adults; I just don’t think that helmet theft is a big concern.
I've had the ultra-cheap lights on my bike stolen. I've seen plenty of other bikes stripped of everything except the frame itself.
This is why I always take my helmet (and my lights) with me, lock my bike and the front wheel with a good lock, and chain lock my seat down for good measure. Haven't had anything stolen since -- even in some sketchy areas.
London, famous for rampant bike theft, and I've never had a locked up helmet stolen. Lights, I take with me; I'm not mad.
And even if the actual rate of crime is lower than the perception, it's still an anxiety people have to add to their daily routine.
Unrelated anecdote: the first time I went out with a helmet was the first time I banged my head, I ducked under a branch as I normally would, only I'd not allowed the extra room, banged my head hard and came off my bike (gently). I still wear and encourage helmet use.