The biggest challenge of consequentialism is that it is a very difficult creed to follow, if one wishes to follow it (I hate to use the term) religiously, and a self-serving creed otherwise. First of all, nobody can fully foresee the outcome of a given act, as the law of unintended consequences tells us. One can have a desired outcome, and definitely there are very possible outcomes. But even events of measure zero can happen. As one extends the time-scale for forecasting, the possible events multiply rapidly and soon become unmanageable. The second obviously is that it is so easy to justify any act, by creating an appropriate forecast. Since the forecasting is apriori, one can construct a "good" outcome for anything. This is the self-serving angle. A person committing acts of greed and selfishness justifies it by predictions of future charity. A person depriving somebody weaker of something justifies it by saying that it will help the other become stronger. Warmongers justify the death of innocents by saying that, in the future, more lives will be saved.
In all the criticism of objectivism or even utilitarianism that I read, this is an angle that is never explored. That a consequentialist philosophy ultimately is difficult to do right and becomes a vehicle for self-righteous justification.