There is a potential downside: JPEG compression is lossy and is not great when there are large areas of solid colors touching other areas of solid colors (like large type on white etc.). In addition, you are baking in the quality when you export in raster format. The second point is probably fine for most things you are working on, and if you open the JPGs and do not resize them then you are probably OK but it should be considered.
Exporting as PNG as suggested in another answer is one way to avoid using lossy compression.
Exporting a page as PDF will preserve all vector art. It will be converted when you place it in Photoshop, but it is better to defer rasterizing vectors as long as you can so the conversion quality is as high as possible. If you place the PDF as a smart object instead of opening and moving the layer, then it might actually resample if you resize, which is good