The cloud offers persistent access to remotely stored data, and this is achieved through a constant connection to the internet. Consequently, there are several things that can go wrong with this technology. To begin, private information is given to someone you don't know and can't fully trust. This is an understandable emotion because this circumstance is true. Data risks getting mismanaged and misused because it is in possession of someone else.
There is fear of irretrievable data due to possible restrictions imposed by the cloud service provider. The cloud-provider may decide to upgrade their Terms of Service without notifying their user-base, leading to caveats that restrict access to their service. Granted this might not be the only place information is stored, as savvy users most likely backed up their data locally. And even then it's still a risk to data-integrity by having it in a location they don't control.
Another reason is as user soconfused mentioned, with the frequent cyber attacks on tech titans and financial institutions, there's paranoia surrounding the security of one's data. It's more probable for your data to be stolen online than your house being robbed of it. I too share in these concerns, as I want to experience the convenience cloud storage offers but I don't want to suffer the potential loss of my private information.