Your Dad was probably taught that by his Dad.
At one time dry firing a gun could damage it. Broken springs from dry firing were pretty common with older guns. Dry firing rim fires could also damage the chamber on many firearms.
It's also a general safety concern.
There are still some modernish guns that should not be dry fired, including the CZ 52, 50, and 70, and the Tokarev TT-30/33, among others. They've been known to break firing pins on limited amounts of dry firing.
"The gift which I am sending you is called a dog, and is in fact the most precious and valuable possession of mankind" -Theodorus Gaza
Baby Jesus cries when the fat redneck doesn't have military-grade firepower.