A personal story, previously shared in an answer to another question:
For the last house I sold, the buyer was doing a no-money-down mortgage and had no money for a down payment. He was even borrowing the closing costs. We accepted the offer, but when the bank did the appraisal, it was short of the purchase price. For most home sales, this would not be a problem, as long as the appraisal was more than the amount borrowed. But in this case, because the amount borrowed was more than the appraisal, the bank had a problem. The deal was at risk, and in order to continue either the buyer had to find some money somewhere (which he couldn't), or we had to lower the price to save the deal. Certainly, accepting the offer from a buyer with no cash to bring to the table was a risk.
In our case, we got lucky. I found some errors that were made in the appraisal, got it redone, and the buyer was able to borrow all that he needed for the house at the previously agreed-upon price.
Despite pre-approval, there are many situations that can arise between the offer and the closing that will affect how much money will be needed at closing. A situation that ordinarily might not jeopardize the sale for a buyer that has a good down payment could unfortunately make the deal collapse if the buyer has little to no cash of their own to bring to the table.