Do it if you want dead rats.
I know someone who had rats in one cage in one room, and a ferret in another cage in another part of the house. Ferret decided he wanted rattie and not only broke the door, but tore the cage apart and killed all the rats.
Ferrets were breed to hunt rabbits and rats. If you own the two together, most DEFINATELY take every precaution to keep them well seperated, and sure as heck don't let them in the same room, whether one is caged or not. It's like throwing a lamb in a lion's cage and saying 'well, a friend of mine kept two together and they loved each other! And boy, think of the money I'm saving not having to get a whole different pen for the lambie!'
Yeah, think of the money you'll save on food for the lion, too.