If you have a substantial balance, you can usually just leave the 401K where it is if you're happy with it. Sometimes 401K's will give you access to institutional class shares at Vanguard - even cheaper than Admiral.
No idea if this is your situation, but if you need to now, or thing you will need to do a Backdoor Roth IRA contribution, then you need to have a plan for dealing with any tIRA money out there. Leaving the 401K where it is or transferring to your new 401K would probably be the best bet if that is a consideration.