I have gone for walks occasionally, but only when it wasn't crowded. It feels much safer in an office.
With couple's T though, she left the agency, but agreed to see us for a few sessions off the books (to carry my wife an I through a transition). We met at a coffee shop and an ice cream shop. I was incredibly uncomfortable at the coffee shop, but the ice cream place was less packed...
One T worked in a place that did in-home therapy. There is NO WAY I could feel comfortable doing therapy in this home, though if it were my own place, it wouldn't be too bad... I still prefer an office setting. Second acceptable would be a secluded walk in nature...