Chicken wire can rust if it's not coated or made of rust-resistant metals (aluminum, stainless, etc).
Also, claws and/or digits can get stuck and literally torn off, but that depends on the size of the 'holes'.
Chicken wire also has holes bigh enough for small creatures, such as rodents to pass right thru, as well as snakes and some small birds, not to mention unwanted insects, such as wasps or hornets, spiders, etc.
Here are some links:
http://www.reptilerooms.com/forumtopic-10378.html
http://www.veterinarypartner.com/Content.plx?P=A&A=1250&S=4&SourceID=56
http://www.iguana-rescue.com/adult_iguana_care_sheet.pdf#search='chicken wire iguana'
... and there's people someone who like it:
http://www.baskingspot.com/iguanas/cagepage/wire.html
...but ultimately, don't go for the chicken wire. 
-IJ