Bitcoin is very volatile, so you could lose or gain unknown amounts during the "transfer" (even if it is within a few minutes).

Additionally unlike a traditional wire transfer you cannot prove that you're transferring it to yourself (it is an anonymous currency by design after all) therefore they could come after you for tax (or worse accuse you of laundering).

Wires are a rip-off. However the costs are knowable and there is a very low risk of any misunderstanding from the big G in either country.

I use a company called XE, and to be frank it is a huge PITA. But at least all money is completely traceable/verifiable (the broker is almost too paranoid about fraud, that's why it is such a pain) and the fees are relatively low. It would be very easy to prove with XE that I sent it to myself.