Big Data refers to large and disparate volumes of data generated by people, applications and machines. It is gaining increasing attention from a variety of domains, including education. What are the challenges of engaging with Big Data research in education? This paper identifies a wide range of critical issues that researchers need to consider when working with Big Data in education. The issues identified include diversity in the conception and meaning of Big Data in education, ontological, epistemological disparity, technical challenges, ethics and privacy, digital divide and digital dividend, lack of expertise and academic development opportunities to prepare educational researchers to leverage opportunities afforded by Big Data. The goal of this paper is to raise awareness on these issues and initiate a dialogue. The paper was inspired partly by insights drawn from the literature but mostly informed by experience researching into Big Data in education.