Pandoc converts the file correctly. If you open the resulting file with a text
editor you see the ⇒ symbol, which in turn means that pandoc has done a good
job.
The point is that the text font you use (probably Latin Modern) does not
contain the ⇒ character. If you change the font to a different one which
contains the ⇒ symbol, e.g. iwona, it will appear as expected.
If you want to keep using Latin Modern as bodyfont, here's a small hack which
takes the ⇒ symbol from the math font instead (it's a plain TeX solution, maybe LaTeX provides some nice abstraction around this): Place the
following code into fixRightarrow.tex:
\catcode`\⇒\active
\def⇒{$\Rightarrow$}
and call pandoc with the --include-before-body argument:
pandoc \
--include-before-body=fixRightarrow.tex \
--to=latex \
--output=output.tex \
input.md