I was always told never to switch off both mags when the engine is running.
My understanding is that if you switch off both mags the engine will continue turning on its momentum for several rotations, drawing in fuel and pumping it into the exhaust unburned. This risks a back-fire (i.e. fuel burns in the hot exhaust) with the risk of damage as mentioned above.
All that applies to Lycoming engine found in PA-28s etc. As for more modern fuel injected types I couldn't say if it's the same.