Okay. Well there's a few things. First, there's a debate over whether serif fonts are more readable than sans-serif, but I think that's all subjective.

Assuming you think helvetica is a good font for website content (a lot of people don't think it is), helvetica nueue (one of its more-expensive variants) was made as a font for featured content (titles, logos, etc) and was never meant to be readable at small sizes.

Besides just looking strange, the eye can't read it as fast.