It's not really because of immersion or anything, I just enjoy the gameplay loop of exploring, fighting, planning my trips and quests around the best route to take, taking in the scenery during long drives, riding the chocobos, camping at night... The roadtrip is the main draw for me, I would never take that away from myself with fast travel.
At least so far, maybe my mind will change by the time I have the airship, we'll see.
With the current loading times, though, I find it unlikely. If it's gonna take forever anyway, I'd rather take a bit longer but have fun doing it.