Yes, there are issues with themes found on torrent or Google search. Only WordPress.org gives you authentic themes. Reasons:
1. Most of these themes would have an encrypted footer which if removed would disable your theme/WordPress login. This encrypted footer generally contains links to some spam sites. You would not want your blog to be connected to these sites and Google penalizing you in search results because of this.
2. Hidden injection code, you can never be sure what is exactly going behind the scene, what code is doing, it might be transferring your traffic via links or redirect or iframes.
3. Poorly written Code which impacts your site performance, since it is not approved in WordPress.org, there is no guarantee.
4. The theme is generally a rip off of a premium theme on some theme club. Because it is not original work you would not get support for the theme in case you run into some issues.
Lastly there are some trusted theme clubs with brand value which offer quality themes.