A few problems that could come up are –

1. It is illegal and the theme author could take legal action against you if he/she wants as it will be specified in the usage license. This doesn’t happen that often and small clients don’t really worry about it. But if you use this theme for a big client and he gets caught by virtue of his visibility this could result in a nasty lawsuit.

2. Such themes downloaded from torrents or nulled theme websites could have malicious code (base64) which could make it possible for people to spy on your website/traffic and/or inject adware into your site once you use this theme. This is the very often the case.

3. Most premium themes today require you to ‘activate’ it using a unique one-time purchase code which you usually get when you buy it. Without activation you won’t get future updates for the theme. This might result in your theme breaking if you update to a newer version of WordPress and don’t have the compatibility fixes from latest version of the theme which may not be available on nulled theme sites. Not updating WordPress makes your website more vulnerable to hackers as it lacks the required patches for security vulnerabilities that were discovered. It’s very easy to find and target outdated WP websites.