As long as life is sweet that way, no problem. But if things go sour or you lose each other, it's probably harder to cope with if you don't have anybody else. My own experience is that it becomes more difficult to resolve arguments because people aren't there to help to arbitrate, so it's just I see it one way, she sees it another, and nobody is adding anything new to the process, so it stalls.
I also think it can keep people from getting paranoid about jealousy, losing the person, etc., if they know they have a circle of friends who will look after them emotionally if worst comes to worst. With nobody else in your life, you'll be completely alone if you lose them. That can come to feel like a very vulnerable position (which it is) if you start to find out things about your only friend that you didn't bargain for and don't like. Anxiety can be quite harmful to human relations.
I think there are different degrees of this too. Some people feel that their relationship is way more important than anybody else in their life, but they still have friends, only with a lot more distance. I think it's nice to have a same-sex buddy while in a relationship (it's safer and simpler than having opposite-sex buddies), but my partner's wishes would normally come first if there was a conflict. I think there's a difference between not happening to have other close friends (but being open to the idea, within llimits), and actively wanting to keep away from them. Even the OP has friends in some sense of the word, when she posts here.