Why does Jenkins warn you if you tell it to check for changes every minute?

In the past when I've set up Jenkins to look for version control changes every second by using the cron format of "* * * * *" (or something like that). When you do this, it gives you a warning and asks if you meant to say something like once a day.

My question is, why would checking once per minute ever be a bad thing? The only bad aspect that comes to mind is that it may be a performance issue. Otherwise, I would want my continuous integration server to always be checking for changes as frequently as possible so that I can know as soon as possible if an error got introduced. Is there a perspective I'm not seeing?