Clipping it to your harness makes it hang too low, and if you don't have a haul loop on the back of your harness (like most of the people who seem to like clipping their chalk bag to their harness), it hangs all sideways and backwards and it takes ten minutes to chalk up, in which time you get too pumped to finish the route, and you have to bail, but you can't because you don't have a 7-mil cord chalk bag belt!
Solution: clip more bolts and lounge in the sun eating bread, olives, and sheep's milk cheese!