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Why answering a capture threat by another capture threat is *BAD*

In short: because you give the attacker the possibility to make additional damage with his attacked piece while the threat still exists on yours. You give him a free tempo. In the worst case (from his point of view) he can at least crash his piece on another one, winning material.
The following game perfectly illustrates this, of course black's queen could have taken the pawn in front of her making a check with capture of my own before her.1-0.

lichess.org/QXfBugxPdhiJ
Calling it just "bad" in general is a bit much.

Yes, counterattacks introduce the possibility of desperado and counter-desperado sequences, but that's just chess. Sometimes it works, sometimes it doesn't.

Even in this specific situation, Nf5 is no worse than any other move, since the position is already completely lost after Qg5?? f4.
After f4 Black can still play 14...Qf6 and protect his pawn. His position is bad indeed but Nf5 loses on the spot.
Qf6 also loses heavy material to Nxd5 and black will lose a piece in the next move or two.

It might be more likely a fallible opponent won't find the win after Qf6, but objectively the position is just already lost after Qg5?? f4.
I like counterattacks. Sometimes entire openings are based on a single counterattack:
Here for instance: rn2kb1r/1bqp1ppp/p3pn2/1p6/3NPP2/2NB4/PPP1Q1PP/R1B1K2R w KQkq - 4 9

White can't play e5, because it will be countered via b4!

Or in the main line of the Polugaevsky variation of the Najdorf.
On the contrary, the instinct to counterattack (as opposed to simply covering/retreating from the threat) is one of the things that sets apart stronger players.
Everything wins, but bishop x knight is stronger.

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