There is an obvious downside to unemployment. No job means no regular, automated 401(k) deferrals and employer match. Lacking workplace incentives, and the ease of participation, savings plans can get derailed.
There is also another problem that comes with having multiple jobs throughout your working career: an estimated $1 trillion in orphaned 401(k) plans that are not rolled into another plan or IRA. Lacking care and proper feeding (as in funding) they often just lurk in the background, bleeding away hard-earned cash.