Exactly. It's called StainLESS and not StainFREE. It just stains "less" than regular steel. Now common conditions will not have an effect on most grades, so people come to think it is rust proof, but it is not. If the protective oxide layer does not form or gets damaged in certain ways, it will rust. A common problem is certain grades used under water. They will not form the chromium oxide protection and will rust like crazy under water but not in air or when generally wetted and dried.
It is generally harder to cut and weld than plain steel (warps more when welding as thermal expansion is higher), and is heavier and not as strong overall (some exceptions). SS threads tend to gall, along with other moving parts rubbing against each other in SS. And it is very expensive. Some great benefits, but some significant drawbacks to it too.