Language models (LMs) pretrained on large corpora of text from the web have been observed to contain large amounts of various types of knowledge about the world. This observation has led to a new and exciting paradigm in knowledge graph construction where, instead of manual curation or text mining, one extracts knowledge from the parameters of an LM. Recently, it has been shown that finetuning LMs on a set of factual knowledge makes them produce better answers to queries from a different set, thus making finetuned LMs a good candidate for knowledge extraction and, consequently, knowledge graph construction. In this paper, we analyze finetuned LMs for factual knowledge extraction. We show that along with its previously known positive effects, finetuning also leads to a (potentially harmful) phenomenon which we call Frequency Shock, where at the test time the model over-predicts rare entities that appear in the training set and under-predicts common entities that do not appear in the training set enough times. We show that Frequency Shock leads to a degradation in the predictions of the model and beyond a point, the harm from Frequency Shock can even outweigh the positive effects of finetuning, making finetuning harmful overall. We then consider two solutions to remedy the identified negative effect: 1-model mixing and 2-mixture finetuning with the LM's pre-training task. The two solutions combined lead to significant improvements compared to vanilla finetuning.