All of my dogs have always done this, both Yorkie and non-Yorkie. Although I don't mind it one bit and actually enjoy the company it drives my DH nuts!!
I think it's because the are pack animals and the pack follows the leaders. If the leader decides it's time to get up and move, then the pack simply follows. Whether they are sleeping, eating, playing, the pack follows the leaders. If we are our babies pack leader then no matter where we are going or what they are doing, they will follow. They have no way of knowing you are just going down the hall to the bathroom, they simply see the leader moving so they move too. Now that being said, I've had some where this instinct wasn't as strong as in others. And some that would leave anything to follow. For them, I tried to be aware of the trait and if I knew me walking off would cause them to quite eating, I would try to schedule 'dinner time' around other things I could do in the kitchen so that they wouldn't have to worry about bolting down their meal before the pack moved on.
The other thing is that they really do love to simply be wherever we are. So if we get up and move to a different room, they want to go too. Although the whole bathroom thing can get rather crowded when everyone wants to be in the room with you.
And the looks on their faces is hysterical. "Hey Momma, why can't I be up in your lap? Pick me up, Momma. Your just sitting there, I'll bring a toy and we can play."
