That we haven't the slightest bit of evidence this multiverse exists.

Right now it is a logical consequence of hypotheses we have proposed (they haven't even reached the status of "theory" yet) that neatly tie up some loose ends in our physics. Religion does the the same thing.

There is nothing wrong with proposing crazy new ideas, but it is only useful if these proposals suggest ways to test them observationally or experimentally. Right now, strings, branes, the whole sturcture we bandy about so cavalierly has been erected after the fact to explain things we don't know, not as a means of tying together those things we do know. And every time a valid objection is found, the theories are arbitrarily modified to overcome the objection. We haven't got one simgle fact that supports this theoretical structure, in fact, there may not even be any way in principle to acquire these facts, they are inaccessible in another dimension. This sets off alarm bells for me. And worse, some physicists seem to find this reassuring.

The whole multiverse concept, and its related ideas of partial dimensions, branes, strings, and so on has about the same status as an invisible elf that magically makes things happen. Of course we can't see him. He's invisible!