As shown by the following MWE, footnotes in theorems' notes work well for amsthm's theorems:
\documentclass{article}
\usepackage{amsthm}
\newtheorem{theorem}{Theorem}
\begin{document}
\begin{theorem}[Foo\footnote{Bar.}]
Baz.
\end{theorem}
\end{document}
but, as shown by the following MNWE and according to this answer, not for ntheorem's theorems where the footnote texts are lost and the \footnotemark/\footnotetext trick is required:
\documentclass{article}
\usepackage{ntheorem}
\newtheorem{theorem}{Theorem}
\begin{document}
\begin{theorem}[Foo\footnote{Bar.}]
Baz.
\end{theorem}
\begin{theorem}[Foo\footnotemark]
\footnotetext{Bar.}
Baz.
\end{theorem}
\end{document}
While it may not be a very good practice to put footnotes in theorem optional arguments, it could be useful in some cases, e.g. for citations in footnote as in the following MWE:
\documentclass{article}
\usepackage{amsthm}
% \usepackage{ntheorem}
\usepackage[backend=biber,style=authoryear]{biblatex}
\addbibresource{biblatex-examples.bib}
\newtheorem{theorem}{Theorem}
\begin{document}
\begin{theorem}[\citeauthor{knuth:ct}\footcite{knuth:ct}]
Baz.
\end{theorem}
\printbibliography
\end{document}
For some reasons, I'm stick to ntheorem and can't change it for amsthm. Any hope of a workaround to this ntheorem's limitation?
amsthm.;-)– egreg Mar 21 '16 at 21:30ntheorem, don't you? ;) – Denis Bitouzé Mar 21 '16 at 21:31ntheoremcan do more things (and interesting things) thanamsthm:ntheoremis cool! :) – Denis Bitouzé Mar 21 '16 at 21:36amsthmand\qedhereusually performs better than the machinery set up byntheoremto make it automatic. Anyway, the limitation is due to using\item[...]for typesetting the theorem label (including the note). You can reproduce the issue with\begin{enumerate}\item[x\footnote{y}]\end{enumerate}. – egreg Mar 21 '16 at 21:43