Have you tried Benchmark to see? You might be surprised.

Even aside from performance issues (which a single regex may or may not resolve), there is the maintenance issue. Is it easier to write, debug, add to, remove from, or generally maintain the code when it's a single regex, or as a series of regexes? Usually, a bunch of small regexes are easier to deal with than a massive one, though if you're dynamically putting the regexes together, that may not be an issue.