I've heard some folks do that so they don't have to add ice and water it down, but like it to be cold when they drink it.
Personally I use about 4 ice "cubes" (the kind that come out of the icemaker) in about half an 8-oz glass worth of whiskey. I like the ice and the cold.
Cheaper whiskey I put in the freezer, but the good stuff stays in the cabinet. I prefer a cube or two of ice to open it up a bit. If it's in the freezer, the ice can't do its job.
To each his own though.