I wasnt told not to do it... but just to share a little story: when I was like 34 wks pregnant, I went through all the filing at work with a colleague and we pulled everything off the top shelf (meaning I had to stretch to reach up to it) and felt extremely dizzy after doing this. Maybe that is what they meant?

If they meant other stretching, such as yoga.. then thats a bit dumb. Gentle exercise is recommended, and that can include gentle stretches like yoga, stretching over a fit ball etc.