If you are better at fighting than stealth, or if that's the way you like to roll, it's not the wrong approach. There is no "wrong" approach in D&D, unless you die (and sometimes not even then!). I don't feel it's for the DM to decide how the players should go about their business as long as they are enjoying themselves.
Furthermore, you don't always have a choice. If you're in the gladiatorial arena, the first round is two ogres, and the second round is 12 kobolds, I promise you that kobold fight is going to be a lot deadlier. And you had zero choice in the matter because you're a slave.