TileEntities are basically any block that has more than an eight-bit block ID and four bits of metadata. //That// only costs memory (on both client and server) and hard disk space (mostly on server), which is fairly inexpensive. That data does have to be transferred to the user, which adds some bandwidth, but most microblocks are pretty simple objects. ((They almost always have to implement a save structure for that data, adding some CPU and disk access on save, and implement a transfer system for the client to hear data, adding some CPU and network requirements.))
However, TileEntities can also do things. Furnaces, for example, burn fuel and smelt material. They have to check status of inventory positions, or change time values, or react to inventory changes. Each action requires an bit of server processing power, and even saying 'do nothing' can take a couple nanoseconds. Some actions occur very rarely, like OnBlockPlaced. UpdateEntity, on the other hand, can happen pretty much every tick. These always add to server processing requirements. Because servers and especially modded servers are often very CPU-bound, this is an issue.
This won't affect client lag -- what the server does, the client can't care about until it's told. However, the client has to wait for the server to tell it things. If the server's CPU is stressed by trying to find new prime numbers, or the server is busy loading files, then the client is going to see unpredictable behavior while waiting for the server to respond. Once the data comes in, it also has to be handled by the client, which complicates things.
