Generally you want your money under your control. What happens if the old company changes 401k providers? Would you get lost in the shuffle? What happens if they go out of business?
Plus, if you leave more than one job (like many of us have) you could end up with several old 401ks at different places. Whenever I leave a company, I roll the old 401k into a personal IRA. At any given point, I have only two retirement plans: the current company's retirement account, and the IRA containing all my old retirement money.