When NOT to use yield (return)

This question already has an answer here:
Is there ever a reason to not use 'yield return' when returning an IEnumerable?

There are several useful questions here on SO about the benefits of yield return. For example,

• Can someone demystify the yield keyword

• Interesting use of the c# yield
  keyword

• What is the yield keyword

I'm looking for thoughts on when NOT to use yield return. For example, if I expect to need to return all items in a collection, it doesn't seem like yield would be useful, right?

What are the cases where use of yield will be limiting, unnecessary, get me into trouble, or otherwise should be avoided?