Mostly because it bypasses the point where you would select the "Options" button during an import. This is a particular problem when importing assemblies, because it takes away your chance to set the save file path for the parts. This causes them to dump into the root of your workspace, potentially making a mess if importing an assembly file with many parts. There are other settings for special situations or problem files that you would miss the chance to use as well.
I had a computer at my previous job on which I had accidentally associated STEP files to Inventor (I used "Open With", and forgot to uncheck the "Always Use . . ." box. If I knew I was opening a single part, it wasn't that big of a deal. Since I transferred a lot of single parts from an old legacy system using STEP, I left the association in place. I just had to remember to go through the File-Open-STEP procedure when I knew I was importing an assembly.
More than once I was importing what I thought was a single part, but turned out to be an assembly. Or I would just simply forget. The results were often messy, dumping (in some cases) several hundred part files into the root of a shared network file structure where our models were stored.
Depending on what you're doing, you might be able to get away with it. In general, I would agree with the others that it's not a good practice.