works fine (though obviously better with a full path as always), but as John points out, loading this in the standard way will not work, though
will do. I have done this myself (though with more meaningful extensions!) on a few occasions for saving data files for a user where it isn't important to the user what type of file it is and I prefer to give my own extension to define the 'type' of file as people sometimes do with XML files.
Purely from a point of view of loading and saving in Matlab there is no obvious reason to not use .mat, it's just a preference for me for files a user will interact with - e.g. if they have 3 different files for parameters of different things then I like to give each an extension related to the type of parameters they store.