I live in a small city in Guizhou, and I see that all the time. I guess it's just a cultural habit, but I have to say I think it looks a bit silly! Especially because the guys who do it usually walk with a swagger, as though to say "Check me out, I'm the man!", just because they have a girlfriend.
As a foreigner dating a Chinese girl, I think it's important to compromise and adopt parts of your partner's culture, but I draw the line there!