It doesn't do its job well when wet. In fact, trying to sleep in a wet down-filled bag can be a miserable experience. Down is also extremely expensive. Synthetic fills can provide quite high warmth to weight ratios, but often have to sacrifice size and bulk in order to provide adequate warmth in cold climates. They also provide some warmth when wet.
Synthetic fills have a much shorter life-span than down.
One of the trade offs made for durability is weight. The heavier bags tend to have a longer life than lighter bags. The fibres will eventually wear, clump, or leave cold spots in the bag. When this happens the only answer is to replace the bag. Cost Often cost is the determining factor over whether a synthetic or down bag will be purchased.