Because a knee arthroscopy is an elective surgery, there are no serious or life-threatening consequences associated with not having it. However, it is important to understand what may result from this decision.
If other treatment methods have failed to improve your knee condition and surgery has been recommended, it is likely that the current problems with your knee will remain unchanged or even become worse. The likelihood of significant improvement without this procedure is slim.
The final decision to have or not have surgery rests with you, but all concerns related to this decision should be discussed with your doctor at length. You and your doctor can come up with a treatment method that is comfortable for you.