Usually the biggest reason we see for recommending leaving a 401k is for those closing in on retirement in their mid 50s, and they might need to use some of the 401k funds prior to age 59.5. There are ways to get at IRA funds prior to that without penalty, but it's a little simpler from the 401k.

A con is that depending on the plan there can be high fees on the 401k that you may not be aware of.