I did with mine.
As long as they weren't crying due to pain etc, and as long as it wasn't blood curdling screaming, I left them. Especially if it was that "i'm not upset/hungry, I just want you to pick me up" cry. I know a lot of people don't agree with it, but it starte here due to having other children.
J was crying after being put down to nap, but I was half way through cleaning up C's leg after a fall, so left him for a couple of minutes, and he fell asleep.