The reason is the amount of noise that builds up when using several pedals in series (especially older style, analog effects pedals). Unless you have some way to run the pedals in parallel, you're going to find when you've stopped playing that the amount of hiss and noise coming out of your amp may be unacceptable. This is why people make recommendations for rack mounted multi-effects units.
Yup...although, it can be kinda fun. You can get the most ridiculous feedback and shit out of 'em. Anyhow, if you like them, stick with them. But you'll need a noisegate. A decent noisegate should fix any crazyass hissing.