If the cyst gets too large (as in over 3cm in diameter), the concern is that the cyst will grow around the ovary, encassing it so to speak. It can also attached to a vein that feeds the ovary and rob it of blood and nutirents. So you don't want it to get so large that it strangles the ovary or interfers with its ability to grow eggs and release them.
Also, they can get quite painful...! I had one that was just over 3cm when it was removed and it had become a pretty constant ache.
I worked with a woman who discovered she had an ovarian cyst that had grown to (no kidding) 18lbs. She had to have emergency surgery (they cut her open similar to a c-section). Doctors were afraid it would rupture and she'd bleed out. Obviously, a rare situation but since you asked... I thought I'd mention it.