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Why shouldn't you?

You don't always have control over the code you are writing, an example that comes to my mind quickly is ffmpeg.

Because using new and delete bare makes writing exception safe, leak-free code about 10 times harder. And I'm pretty sure ffmpeg is written in C.

How does ffmpeg relate to this, isn't it written in C?

He may be talking about interfacing with C code of that nature. (You can still localize most of your new/deletes in to the wrapper classes though)