There's slight input delay with wireless, maybe not noticeable, but every little bit of lag adds up. It takes something like 200ms to respond to something, even 20ms will add to that.
Most gaming mice have more features like lights that take battery, so it will run out faster. If your mouse dies, you're screwed, you just lost the game (depending on the game, but there aren't many games that you can just stop playing for a minute or two while you get some batteries).
Most companies don't make wireless gaming mice, if they do, it's just one or two specific ones, and they usually cost $30 more than wired.