Fuzzing has been proven extremely effective in finding vulnerabilities in software. When it comes to fuzz stateless systems, analysts have no doubts about the choice to make. In fact, among the plethora of stateless fuzzers devised in the last 20 years, AFL (with its descendants AFL++ and LibAFL) stood up for its effectiveness, speed and ability to find bugs. On the other hand, when dealing with stateful systems, it is not clear what is the best tool to use. In fact, the research community struggles to devise (and benchmark) effective and generic stateful fuzzers. In this short paper, we discuss the reasons that make stateful fuzzers difficult to devise and benchmark.