Most cities, no matter how large, cosmopolitan and boisterous they are, eventually call it a day. And that means that public transportation ceases to operate. Before heading out for the night, be sure to know when the last train runs or what time the last bus departs back to your accommodations.
Sure, you can catch a cab (maybe) or walk (hopefully), but once public transportation shuts down, you run the risk of having to sleep wherever you are. Even in a MOS Burger.