I'm always doing that for 95% of story-quests because it feels more imerssive to me and less rushed (only to a certain degree though - I will teleport from Ishgard to Yanxia instead of making the whole round-trip...)
Since I usually play story-heavy quests (Mainstory, Hilli, seasonal events) with my boyfriend its really nice to get a chance to actually travel through the beautiful zones the game has to offer while chatting about the current events of the story in question. For story-quests it also gives me a feeling of everything being more... connected instead of just hoping from one scene to the next - its more of a journey than.

I wouldnt go a random day without teleport though - I mainly use it to get from one timed node to the next one; something that would be impossible without teleports.