One mechanical reason (and which may only apply to some bikes), one mechanical reason that applies to all bikes, one safety reason.
The mechanical reason that only applies to some bikes is that SOME engines - not all - may have a bearing or bushing on the transmission input shaft that is not designed for continuous duty. Bike stopped, engine idling and clutch pulled in with transmission in gear is OK because the shafts are not spinning. Rolling down the road, the shaft and the bearing in question are spinning but there is no load on it because you are not holding the clutch lever in and applying pressure to it - OK. Shifting gears - OK because it's only a moment at a time. Rolling down the road for extended periods with the clutch lever pulled in - on SOME engines - could overheat that bearing.
The mechanical reason that applies to all bikes is that it's really tempting to forget which gear you are in, and if you start doing this in one of the lower gears, by the time you let out the clutch, the engine could be mechanically driven beyond its maximum revs. The engine's rev limiter is of no help when the clutch is mechanically spinning the engine beyond the rev limit RPM. On a ZX10R, with 100 mph 1st gear capability, perhaps it's not an issue so much. But on a small bike, in which redline in 1st might only be around 40 km/h ... letting it spin up to highway speed in 1st and then letting out the clutch will make badness occur.
Another factor is that if you do a gear change in this situation, the gearbox is not gonna be happy about it. This is another good way of turning gear teeth into metal shrapnel inside. Bad bad bad.
The safety reason is that you should always be ready to accelerate at any moment. Can't do that if you don't know what revs the engine will be at when you let out the clutch. If the engine is already in a suitable rev range, it's not an issue.