The lack of safety. Urban areas have their own dangers like traffic, criminals, and unexpected construction. When you're stealth camping, you might be setting up near a busy road where a drunk driver could veer off, or in an area where there are gangs. Also, the buildings around you could be structurally unsound. There was a story where a camper's tent was almost crushed by a falling piece of a dilapidated building during a windy night.
The unknown. In the city, there could be all sorts of things lurking in the shadows. Maybe it's an abandoned building with a dark past or a hidden underground space. You don't know what you might stumble upon. It could be a homeless person with malicious intent or some kind of supernatural presence. Like in one story, a camper found a hidden basement in an old building he was camping near, and when he went down, he felt an overwhelming sense of dread for no obvious reason.