I have done this occasionally, most likely when playing One City and needing to get a particular wonder like Colossus in before I have Trade. It is usually an indication that I failed or messed up with my planning. Trade and caravans are usually second on my research priority list, after a better government (Monarchy or early Republic). A bad hut result or an unwise tech trade can screw that up. If you have to rely on units for transferring shields before you get Trade, I recommend researching Writing so you can use Dips instead of Horses. Dips require no shield support and can be used for dealing with Barbs and other targets of opportunity.
There was a memorable succession game a while back where we could not build caravans or freights, so we had stacks of Dips sitting around waiting for wonder techs. I don't remember if they decreased AI tech theft, but that might be another beneficial side effect.