Under the usual nonparametric regression model with Gaussian errors, Least Squares Estimators (LSEs) over natural subclasses of convex functions are shown to be suboptimal for estimating a $d$-dimensional convex function in squared error loss when the dimension $d$ is 5 or larger. The specific function classes considered include: (i) bounded convex functions supported on a polytope (in random design), (ii) Lipschitz convex functions supported on any convex domain (in random design), (iii) convex functions supported on a polytope (in fixed design). For each of these classes, the risk of the LSE is proved to be of the order $n^{-2/d}$ (up to logarithmic factors) while the minimax risk is $n^{-4/(d+4)}$, when $d \ge 5$. In addition, the first rate of convergence results (worst case and adaptive) for the unrestricted convex LSE are established in fixed-design for polytopal domains for all $d \geq 1$. Some new metric entropy results for convex functions are also proved which are of independent interest.