Historically it has been bad to use a heck of a lot of threads because you add a lot of context switching overhead that you could otherwise avoid, as the OS tries to schedule everything to get some time and thus spends some cycles suspending and restoring active threads. If you have many hundreds of threads then this will involve fetching thread contexts from main memory (it may even with a few, I'm not sure on this). So the theory is that if don't absolutely need all of these things to run concurrently then you can design your workload to use these cycles instead of wasting them on switching back and forth, and get your work done faster.
I'm sure that hardware and operating systems are designed with this in mind and the effect is reduced, but it's still going to be a factor.
And I know we all have machines with gigabytes and gigabytes of RAM these days, but limiting the number of threads used is going to have a huge effect on memory footprint, which is still important in a lot of places (embedded/mobile etc).
Thread pools can/could be written to auto-tune, depending on the nature of the workload. The human is only comparing times over multiple runs, you can do this programmatically though this is more coding overhead. It does need to tune to the specific machine though, as all sorts of factors will affect the result. I'm not going to pretend they're a panacea but they can still be useful as they provide flexibility and a way around the context-switch costs.
EDIT - Also thread pools don't require tuning, and are not even necessary at all in this situation, people (self included) are just reacting to the idea of throwing orders of magnitude more threads at a system than it has processors, and expecting optimal results.
Memory footprint is somewhat applicable - often each has a (virtual) megabyte stack. So in 32-bit address mode you could run out of virtual memory!
True, but the number of context switches does increase and that in turn decreases the ratio of useful work vs. context switch overhead.
Also the secondary costs of context switching, like flushing caches increase. If there are hundreds of threads, the chances that a thread is woken up with warm caches decreases.
Again, why is it a bad idea to use threads? Your OS doesn't feel any pain, its quite willing to support 100's of threads. While async i/o is cool, if the i/o context of each thread is quite different then again you're 'manually' handling context when fielding async, which can be worse in terms of hardware caches etc. associated with the thread that fields the async call.