I have seen cats being taken for a walk on a leash before, but I'd imagine it would take quite a bit of training to get your cat used to it, and you'd also have to start the training from a very early age. A cats nature is to go and do whatever it wants, whenever it wants so for it to be lead along on a leash would be pretty unnatural for it I would imagine.
I know some cat owners that are maybe a little too overprotective of their pets and don't want their cats to go out on their own, but again I just think that's in a cats nature to go and explore the outside world and mark it's on territory. Only letting it out on a leash while might seem like you're keeping it out of harms way, may be doing the cat itself more harm mentally and it wont be able to do what comes naturally to it. Some cats of course prefer to stay indoors, but again I feel that's more to do with how they have been treated when they was kittens and I think training your cat to go outside should be one of the first things you teach it, if of course the mother doesn't or isn't able to do it for you.
