I like to keep control of my data and manage my own systems, instead of using some black box where I'm at the mercy of a cloud provider.
You're not going to be able to troubleshoot or optimize down to the hardware level in the cloud. If some cloud service doesn't work or is not available, all you can really do is wait and hope they get it working again, while if you manage your own systems you might have a chance of fixing it or at least finding out what happened and work to prevent it from happening again. Some applications just won't work on the cloud or exhibit mysterious bugs, failures, or bizarre behavior.
Security and data ownership is pretty much out of your hands when your servers are in the cloud. You can only hope and pray your cloud provider is doing a good at securing your data and isn't stealing or selling it themselves. You generally have zero visibility in to how security is handled by your cloud provider or whether a security compromise has taken place.
And then there's the issue of vendor lock-in, which becomes more and more likely the more unique cloud features you use.
Of course, for maximum control, you wouldn't rely on a colo either, and just host your servers in your own server room(s).