Limitation of $R^2$
For a linear regression $y_i = \beta_0 + \sum\limits_{j=1}^{p} \beta_j x_{ij}$, $1 \leq i \leq n$, suppose $x_{ij}$'s does not have any relationship with $y_i$'s. i.e. true model is $y_i = \beta_0 = \bar{y}$. Under this assumption,
$$\begin{align*}
\frac{\mathrm{SSE}}{\sigma^2} &\sim \chi^2(n-p-1) \overset{D}{=} \Gamma(\frac{n-p-1}{2}, 2)\\
\frac{\mathrm{SSR}}{\sigma^2} &\sim \chi^2(p) \overset{D}{=} \Gamma(\frac{p}{2}, 2)\\
\mathrm{SSE} &\perp \mathrm{SSR}
\end{align*}$$
Thus, $R^2 = \frac{\mathrm{SSR}}{\mathrm{SSR} + \mathrm{SSE}} \sim \mathcal{B}(\frac{p}{2}, \frac{n-p-1}{2})$, and $E(R^2) = \frac{p}{n-1}$.
Hence expectation of $R^2$ increases as the dimension of predictors increases, regardless of fit of the model.