Barring state regulations on transporting firearms, why? I can understand making sure the chamber's clear as a car crash could potentially set things off, but beyond that who cares? I know a guy who doesn't load mags at the range. He predominantly shoots 1911s, so he loads about 10 mags over the course of the week, brings them on the weekend and shoots them off. I don't think he transports them in the gun, but they're most certainly in the same range bag.
Like I said, if there are state/federal regulations in place then by all means follow them, but practically speaking there's nothing wrong or unsafe about transporting a loaded gun or a loaded mag, under direct control or not.