More people armed with and randomly carrying around guns which, you know, causes the problem.
A potential to catch civilians in the crossfire while not actually taking down the shooter.
Muddying who and where the attacker is (and how many attackers there are) for both police, security, and fleeing civilians who need to make panicked, split-second decisions.
In Malaysia too! Because we have strict gun rule, rarely these are needed, and security are just someone that work for the premise owner to keep order on minor stuff. Security with gun are meant for intimidating only and rarely justified firing it at people without gun.