Blued steel, although they look really nice, is pretty high-maintenance compared to modern finishes like nitride coatings, parkerizing, hard chroming, or stainless steels.
Blued steel is incredibly thin compared to coatings and plating and not very scratch resistant. Blued steels also are not very rust resistant and can start to develop rust if they are not kept oiled and/or properly stored. Afterall, bluing is in itself a byproduct of oxidation.
Perhaps shiny stainless steel might be a problem if you're doing stealth operations in the military where you don't want a reflection to give away your position, but I hardly think it's a big deal for CCW.
However, many manufacturers are going towards low-glare satin and sandblast finishes on stainless steel.
About the only con to stainless steel I can think of is that they can be a wee bit heavier than carbon steel all things being equal.