"Most 401(k) plans are going to limit your choice of investments," said Daniel Lash, a certified financial planner with VLP Financial Advisors. "In an IRA, depending on where you open it—say, at a discount brokerage—you can invest in almost anything."
Additionally, rolling your 401(k) dollars into an IRA helps you keep track of where all your retirement money is.
Read MoreGen X faces retirement hurdles
According to data from the U.S. Labor Department, the median time spent at one job is fewer than five years. Moreover, the number of workers at least 25 years old who have been with the same company 10 years or more stands at just 29.2 percent.
So if you leave your 401(k) every time you leave a company, you might, after a couple of decades, have a half-dozen 401(k) accounts floating around. If you've changed addresses in that time and have failed to notify your 401(k) provider, you might stop receiving statements from the plans.