It's not that I think the "pee" syllable would be a problem or invite any teasing. It's just that I don't like it because it means, well, pee.
Actually that's just a part of it. "Piss" means the same thing so I started to imagine a name that has that sound as the last syllable and to be honest that wouldn't bother me as much. I guess mostly it is just a sound I don't like, and since it's at the end of the name, it's very noticeable.