Is this an instinctual habit? If so, would it be safe not to follow it? I wouldn't want to get its instincts messed up or anything.
If your cat wants you to follow her, and you don't feel like it, don't follow her. She'll be fine.
If your cat has clean litter, food, and water, and she's getting regular attention from you and exercise through playing, and she's got a comfy place to sleep, your cat is fine (barring any health problems). She probably wants you to follow her because she wants to monopolize your attention. (Many cats don't like it when their humans pay attention to other things.) If you don't follow her and she still wants your attention, she'll eventually come back - or get bored and wander away.
Where does she go when you follow her? If she leads you to her food bowl, she's trying to get you to feed her. If she leads you to a door, she wants to be on the other side of it. In these cases, and wherever else she takes you, if she leads you to something she wants that you don't want to give her, don't give it to her.
Cats are notorious for trying to bribe their humans with purring and affection to get what they want. Don't fall for it! Accept the cute attention from your feline friend, and then enforce the rules however you like. You're the boss!
However, if your cat starts behaving oddly, take note. If she's leading you to a spot where it's not clear what she wants, she may be smelling or hearing something you can't detect. I had a cat that behaved like this and made me follow her to a certain cabinet that didn't seem to contain anything a cat would want... until one day I found mouse droppings in there. She could smell the mice and wanted me to let her in so she could hunt them.
Mostly, she wants your attention. If she's trying to get your attention when it's not convenient for you, it's perfectly fine to ignore her, as long as she's generally getting enough attention from you to be a happy kitty.