In addition to the correlation is not causation issue (already mentioned) would add that Data mining is not magic. It has to be done in conjunction with expert knowledge of the field being studied. Conclusions that come out of the tool, for example, have to survive the "Laugh Test". The tool is not going to automatically solve all your problems for you.

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"I'm as accurate as any psychic. And I'm a cartoon!" -- Squidward

"Arrrgh, the laws of physics be a harsh mistress!" -- Bender