I was told not to coast with the clutch pulled in and no throttle - why?

My 125 is like that, and it has a really short 1st gear. Normally, when coming up to a stop, I downshift and rev-match through 2nd gear, but once the speed is down far enough to be near idle speed in 2nd (probably around 15 km/h), I clutch in and downshift to 1st but leave the clutch in until stopped (not using engine braking in 1st). It's smoother that way.
Basic rider training, and defensive techniques, dictate that the rider always be riding under power. Since it's impossible to be under power while the clutch is disengaged for a shift, riders are taught/coached not to shift in higher risk areas like intersections or railway tracks, or areas where the re-engagement of the clutch could cause problems if not done smoothly, like curves and turns. I'm reasonably certain this pretty standard teaching, historically, for any class of vehicle with a manual transmission. From a safety perspective, once you're comfortable with your shifting technique, you're going to do it in curves or turns if you need to, knowing that you have to be smoother. If you must shift in an intersection, you do it quickly to reduce the amount of time you're not under power.
As far as coasting down a hill - I'm not sure how often you would be doing that, but that could cause an issue when you let the clutch back out again if it's at any reasonable speed.
I have coasted - in very heavy (stop and go) traffic when my left hand gets tired. Click it into neutral and left gravity get me down the hill. Traffic is already bunched up, there's nowhere to go, and I'm at first-gear speed so I do run into trouble, I can quickly stomp on the shifter and get into gear.
 
Stop Free Wheeling !! It's bad form and Motorcyclist instructors will slap your hand if you do that in a course.
 
I have coasted - in very heavy (stop and go) traffic when my left hand gets tired. Click it into neutral and left gravity get me down the hill. Traffic is already bunched up, there's nowhere to go, and I'm at first-gear speed so I do run into trouble, I can quickly stomp on the shifter and get into gear.

Important bit is highlighted. It's tempting when doing something like this, to let the speed get higher than that. If the speed is well above idle speed, the transmission is not going to like it when you try to go into gear. You CAN break teeth off the engagement dogs inside the transmission if you try to shift into gear from neutral while moving at a speed that is far different from what the engine speed in 1st gear would give, and that is really expensive to fix.

The best practice is to not coast in neutral. I get that sometimes on a downhill, your clutch hand needs a rest - I get that. I'm just emphasizing that you need to BE CAREFUL when shifting into gear from a situation like that. Best thing is DON'T. (Either don't coast in the first place, or if you do, then come to a stop - or near idle speed in 1st gear - and then shift into gear.) If that's not possible (traffic conditions don't allow it), do the math in your head for what RPM the engine would be doing in second gear at whatever speed you are doing. Rev the engine up with the clutch lever released (to spin up the transmission input shaft) then pull in the clutch lever and upshift to 2nd from neutral while holding revs at that speed.

I speak as someone who has found gear teeth and engagement dogs in the oil pan. Several years ago, at Shannonville, I missed a shift, the engine bounced off the rev limiter, I backed out of the throttle, when the revs dropped down the transmission decided to downshift rather than upshift. Ka-boom, no more third gear, and metal chunks in the oil pan. And a week ago tomorrow, I broke the transmission that I put in to replace that one. Haven't pulled it apart yet, but I know 5th gear is gone, and I know that as of right now, the output shaft is completely locked up. Badness has occurred.
 
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