Comment by michaelmior

Aside from what else is mentioned in the sibling comment, inheritance is another big one. Inheritance is not explicit in SQL and in fact, when going from ER to SQL, there are multiple choices you can make about how to materialize the inheritance hierarchy.

Another is that in ER diagrams, relationships themselves can have attributes. Personally I think it tends to make more sense to convert relationships to entities in this case most of the time, but it can be useful.

Finally, relationships in ER diagrams can be N-ary and connect more than two entities while foreign keys in SQL always reference one other table. Of course you can have multiple foreign keys on a table to represent this, but not without some loss of semantics.