As serverless computing paradigm becomes widespread, it is important to understand the I/O performance characteristics on serverless computing platforms. To the best of our knowledge, we provide the first study that analyzes the observed I/O performance characteristics -- some expected and some unexpected findings that reveal the hidden, complex interactions between the application I/O characteristics, the serverless computing platform, and the storage engines. The goal of this analysis is to provide data-driven guidelines to serverless programmers and system designers about the performance trade-offs and pitfalls of serverless I/O.