I don't clap between movements for the same reason I genuflect in "high" churches and don't genuflect in "low" churches. (Much in the spirit of Letter XVI.)
Alas, you could say that most concert halls share this with C.S. Lewis's Church of England: they are not hotbeds of charity and humility. I was thinking the other night: if only the earnest "shushers" of applause could do so with a smile of anticipation at the music to come (i.e. Don't clap yet – there's more to enjoy!) instead of a glare of disapproval.
(There are occasional moments in concerts when I wish that this modern business of never clapping between movements would simply go away. A pox on you, Mendelssohn.)