When talking about Scrum you often hear that the sprint backlog should be broken down into tasks no greater than 16 hours in size. The reasoning behind this, in my opinion is to force the team to breakdown things. I know of several teams that decide on even lower limits. And even if you do not estimate the size in hours because you only burn down the number of tasks in the sprint it is still common to have some kind of guideline for a maximum task size. And there are at least three good reasons to break things down into small things.
There a certainly more reasons for why you should break things down into small tasks and probably a few why you should not do it. Even though I think the key when looking at when not to make small tasks is more of a when thing. Breaking things down into one day tasks and then saving it for half a year and then start working with them is not a good idea.