This kind of advice is very dependent on the scenario.
If you are doing some kind of full cross product where the join creates a much larger set of rows, it could optimize the DB load and network traffic to fetch the source sets and then generate the permuted set locally.
But, many inner join patterns are selective. They produce a much smaller output than the source records. The traffic to pull all the records and then intersect and filter locally is much worse than having the DB do it.
And that's before you even consider indexed joins, where the query plann is able to make good use of indexes to avoid doing brute-force table scans, sorting, and filtering.
Thanks! I should have clarified - we haven't been using this pattern for selective joins. Strongly agreed that pulling down extra data into memory and then doing the filtering doesn't make much sense. We've found it useful in the case where it's hard to write a query where the planner _does_ make good decisions because of the complexity of the join conditions (e.g. joins using cases, a boolean "or", or something similar).
Also, to re-emphasize: we do this rarely, but it's been helpful the times we've done it