There are some downsides to conducting a search, but the time and money spent on them usually pays off down the road for applicants.
Downsides: It is impossible to find all of the prior art that may be relevant in evaluating whether an invention is patentable. For example, an examiner may cite to prior art during the application process that was not uncovered in the prior art search. One reason for this is that some relevant prior art---notably pending patent applications---may not have published yet, and is therefore "invisible" for purposes of the prior art search. Another downside to conducting a prior art search is the additional up-front cost incurred by the applicant.
Upsides: A good prior art search assists an applicant and his counsel in determining whether pursuit of patent protection will be successful or worth the costs inherent with the application process. The results of a prior art search allow patent counsel to identify possible roadblocks in the application process, and formulate strategies for getting around them. This upfront information can reduce the overall costs of patent prosecution by anticipating and avoiding possible grounds for rejection of a patent applicaton.