When I play a FPS with my wireless mouse I feel that the game reacts more slowly than my movements. Is a wireless mouse less reactive than a classic mouse? Is there a loss of performance with wireless mouse? What is the latency of a classic mouse or wireless mouse? How can I test that?
Wireless mice have several disadvantages for gaming, latency being one of them. They also have a nasty habit of dying just as you're about to get the game-winning kill. It may or may not be the biggest/only bottleneck to your gaming performance, but it's certainly true that more gaming mice exist that are wired than wireless.
As far as testing it goes, you could take a look at this article, which contains testing suggestions and tuning opportunities to measure the latency of you wireless mouse versus a wired one.