Most functions are not linear. This may seem too obvious to be worth mentioning, but it's very easy to assume that various functions that appear in real life are linear, e.g. to assume that if a little of something is good, then more of it is better, or if a little of something is bad, then more of it is even worse (apparently some people use the term "linear fallacy" for something like this assumption), or conversely in either case.

Jordan Ellenberg discusses this phenomenon at length in How Not to Be Wrong: The Power of Mathematical Thinking. See here for some relevant quotes (a blog post by one of the targets of Ellenberg's criticism).