Contrastive learning is a powerful technique for discovering meaningful data representations by optimizing objectives based on $\textit{contrastive information}$, often given as a set of weighted triplets $\{(x_i, y_i^+, z_{i}^-)\}_{i = 1}^m$ indicating that an "anchor" $x_i$ is more similar to a "positive" example $y_i$ than to a "negative" example $z_i$. The goal is to find representations (e.g., embeddings in $\mathbb{R}^d$ or a tree metric) where anchors are placed closer to positive than to negative examples. While finding $\textit{global}$ optima of contrastive objectives is $\mathsf{NP}$-hard, the complexity of finding $\text{\textit{local}}$ optima---representations that do not improve by local search algorithms such as gradient-based methods---remains open. Our work settles the complexity of finding local optima in various contrastive learning problems by proving $\mathsf{PLS}$-hardness in discrete settings (e.g., maximize satisfied triplets) and $\mathsf{CLS}$-hardness in continuous settings (e.g., minimize Triplet Loss), where $\mathsf{PLS}$ (Polynomial Local Search) and $\mathsf{CLS}$ (Continuous Local Search) are well-studied complexity classes capturing local search dynamics in discrete and continuous optimization, respectively. Our results imply that no polynomial time algorithm (local search or otherwise) can find a local optimum for various contrastive learning problems, unless $\mathsf{PLS}\subseteq\mathsf{P}$ (or $\mathsf{CLS}\subseteq \mathsf{P}$ for continuous problems). Even in the unlikely scenario that $\mathsf{PLS}\subseteq\mathsf{P}$ (or $\mathsf{CLS}\subseteq \mathsf{P}$), our reductions imply that there exist instances where local search algorithms need exponential time to reach a local optimum, even for $d=1$ (embeddings on a line).