Nothing would happen, because you can't transfer Pokemon holding items in the first place, sorry. You cannot transfer Pokemon holding items because it would make collecting loads of items that are supposed to be rare too easy, and would potentially cause problem with items that are removed from Gen 4 to 5 (eg. changing TMs).
Just stick to the ordinary Dusk Balls, Ultra Ball and Quick Balls. It's not worth the trouble transferring a Heavy Ball over anyway, chances are it won't even capture it successfully.