If you aren't careful you can cause that without infinite recursion. If the query optimiser an't see to push relevant predicates down to the root level where needed for best performance, or they are not sargable anyway, or the query optimiser simply can't do that (until v14 CTEs were an optimisation barrier in posrges), then you end up scanning whole tables (or at least whole indexes) multiple times, where a few seeks might be all that is really needed. In fact, you don't even need recursion for this to have a bad effect.

CTEs are a great feature for readability, but when using them be careful to test your work on data at least as large as you expect to see in production over the life of the statements you are working on, in all DBMSs you support if your project is multi-platform.