One example of when it's bad to intercept is when the player intercepts the ball in their own territory but then suddenly loses the ball either by fumble or being stripped and allows the other team to score easy. If a player is not going to hold onto the ball, then it is bad for him to intercept.
Another example is when it is 4th down, and the quarterback throws the ball far down the field. If you intercept it, you get the ball back where you caught it (or where you get tackled). If you just bat the ball away so that the other team can't catch it, then you get the ball where the play started, which is better for your team. (This assumes a few things, like that there is still time left in the game, and that you are going to get tackled soon after you intercept the ball, but the basic idea is true.)
There are also extremely rare times when a defensive player has run out of bounds, and is therefore ineligible to intercept a pass or recover a fumble, where he is the first defensive player to touch the ball. When this occurs, he can let the pass fall incomplete, or allow a teammate to make a legal interception, or catch the ball legally after it is touched by another player.
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