personally i dive with a cheap watch......but if someone feels better about diving with a rolex than a seiko, who am i to tell them they cant?
I will give you a good reason not to: it's not a good idea to travel in airports or harbors with a rolex in the baggage, even worse to wear it on the body, especially in poor countries like Mexico or the Philippines but not only in them...
If the opener asked this question he must be rich, but it's not a good idea, also for safety reasons...