The really bad thing is if it ever lands on a coaster track. Like, life threatening. While the whole "penny on a railroad track" thing is an urban legend, a metal rod (even a cheaply made one) and a cell phone attached (remarkably, many of them hold a cell phone quite securely I am told, for being cheap little devices) and an oncoming coaster car could easily be a derailment.
And some of our more knowledgeable folks about ride physics like
@marni1971 could probably confirm the danger level - but I believe that if one does blow out of someone's hand, it probably would be blown back to the track behind them, depending on where it happened. I'm sure it's possible it would just be flattened, but if it landed correctly, I really believe it isn't crazy to think it would cause a derailment. And we really don't need one of those...
In any case, I think that is why they are talking such a hard line on this - and I really hope that anyone who is caught doing them on a ride gets ejected for the day, at least.