To strictly answer your question, there's always good old mistakes with
del. Mistakes with those tools are not fun. I (ahem) have a friend who may have accidentally shut down a server when I -- errr, he -- meant to just logout.
But it's not a bad idea if the person legitimately needs those credentials. I log in with mine many times a day, but as a sysadmin, I need them all over. That said, I don't need admin credentials to read email and browse the web.
If you're in a regulated industry (PCI DSS, SarbOx, HIPAA), you may be required to separate your duties out as much as possible, so an admin can be putting the company (and possibly him- or herself personally) in legal jeopardy. Frankly, that's what finally got us over to being better with our admin credentials.
So the real takeaway, I believe, is to find out why the user is using the domain admin credentials. If the user is creating resources, installing software, etc., then perhaps that's what they need. If you have the time, you can always delegate out lots of AD individual privileges -- we let our helpdesk guy join PCs to the domain and change passwords, but that's about it. But just logging in with domain admin credentials, if you're an admin, doesn't necessarily mean there's cause for alarm.