For starters,
Apple says that it's a bad idea.
That being said, newer versions of the operating system update key system files, and if you run an older updater to 'downgrade' the system, it's possible that some of those newer files are left alone, and (in some instances) they may not be compatible with OS components installed by the older updater.
Edit: Apple has a similar (and probably better) explanation on
this support page. Look near the bottom.