There is nothing "wrong" with only playing one class/job certain to some considerations.......

You might find that you become over levelled for the content you are playing especially if you are on a world with the Road to 70 buff - in those instances it may be wiser to try and level at least two class/jobs so that once you out-level the content (no longer get exp from general mob kills) you can swap over to the other and not lose out on that exp for yourself or for your Chocobo companion. Would be ideal to have one class/job ten levels higher than another in this instance.

But in any event its your game - you play it how you want to.