In The Tragical History of Dr. Faustus Mephistopheles warns Faustus about his decision of bargaining his soul because he is a fallen angel. A fallen angel is one who had once been in heaven and has seen the face of God, as well as the joys of paradise. Mephistopheles is working on behalf of his overlord, Lucifer. This means that he is not the devil itself, but one of many soldiers who serves the Prince of Darkness.
This being said, Mephistopheles is aware that Faustus is risking a very good thing by selling his soul to the devil.
MEPHIST. Why, Faustus,
Thinkest thou heaven is such a glorious thing?
I tell thee, 'tis not half so fair as thou,
Or any man that breathes on earth.
He answers Faustus' questions about how he was thrown "from the face of heaven." Faustus's choice will affect him badly for eternity.
Faustus damns himself by underestimating the warnings of Mephistopheles and by being extremely overconfident. He does not believe that anything would affect him, because Faustus has always had things go his way. Therefore, in his view of things, he does not need to be held accountable for his actions, much less for any choice he makes because acquiring knowledge is the most important thing. We know that this is not true, and that he actually makes a really bad choice by playing with evil.