My friend did this when we rode to a play date so she could tie her horses up without removing the bridle.
I have this imprinted image of rental horses always having their halters under their bridles -- probably because they get people shuffled on and off all day and need to be tied in between easily. Ever since I was a little kid I was always very happy to ride my lesson horses w/out the halter because I felt like it meant the horse was more "mine" or at least less of a "follow the tail in front of me" sort of critter. I know that makes no sense but it sort of stuck with me aesthetically.
Unless I had a specific purpose for doing so I probably never will. Besides, my horse's head is HUGE and the bridle barely fits, it sure wouldn't fit over a halter!