First, let's explain what is meant by "the cloud". It means some computer, somewhere ... but not yours. Whenever someone says "the cloud", you should substitute the phrase "someone else's computer".
So what could be the problem in keeping your important stuff on someone else's computer? The problem is, you don't actually control it. You probably don't even know where, geographically, it is. And that can lead to ... issues.
For example, suppose your data is on a computer that, unknown to you, is shared by several other people. What, you thought you had the computer to yourself? No ... it's made to look that way, but your stuff is on the same physical hard drive as many other people. Otherwise it would all be prohibitively expensive.
Now imagine that the FBI decide that maybe one of the people on the same computer as you is a fraudster. Or terrorist. Or drug abuser. And they decide to seize that computer.
Or suppose that computer goes down, and it turns out that no-one has been making backups? You're stuffed.
And here's what happened recently.
And here's one of the web sites that got deleted. And here's how it feels.
123-reg ran a script to automatically clean up their systems. But there was a mistake in the script, and a bunch of their customers had their data deleted. As of today, they're working with "multiple third party data recovery software" and "we are definitely seeing some results". Clearly, 123-reg don't think that having backups of their servers is part of their job. Or if they did think that, then their idea of backups isn't what I would call a backup.
Me - I'd rather rely on having backups that *I* control.