Bacteria and Smells
With a spa in the basement of a house, there will be little to no light reaching the room. This may create a nice setting in theory, but it means that when water spills from the spa, or pools on the floor or in a corner, it will not evaporate.
It will stay there unless it is cleaned up. This can lead to mold and mildew growing on the basement floor and spreading quickly.
The basement may soon be covered in bacteria--and a smell bad. It also means you will constantly have to kill mildew and bacteria on your own, which isn't very relaxing.
Basements are usually very hot or very cool at different times of the year because they don't have efficient ventilation. Very little outside air can get in or out.
This problem will be compounded when there is a spa in the room, as the basement will become very hot and muggy. This can cause paint to peel and make the basement just generally uncomfortable.
The mugginess of the basement can also spread to the rest of the house, making the entire structure warmer. This can cost money in high electrical bills trying to cool it down.
Plumbing is never cheap to install but is especially expensive when being installed in a basement. This is because pipes must be installed in the walls and the floor.
It means the foundation of the house must be broken into, which costs a lot more money from a construction standpoint. Permits must be obtained and larger pieces of equipment must be used.
This adds a significant amount of cost to the project before the sauna or any of its accessories are put together. It can run the cost up if anything goes wrong during the construction or installation process.