The way I saw it, the new zones are broken up and above Eorzea. What makes you think you can be in flight full time in every zone? Could very well make it that the chocobos cannot fly in other zones. Just the the new sky zones. There is something that is allowing these upper continents to exist and float in the sky. Some sort of magic perhaps? This magic could also be what allows chocobos to take flight in these designated areas.