Neither do I. I've been told many things by many people, mostly what has already been said here.
There is no rule. You should use your best judgment, bolstered by experience, based on the species and condition of the wood, the intended finish, and the intended use.
For polyurethane, lacquer, or other relatively thick finishes there's not much of a difference if you sand past 220. By the time you have your final finish, the texture of the underlying wood is largely covered by the finish anyway. For oils, waxes, and other thin finishes, the texture of the wood becomes more important to the final smoothness.
In general, the harder and more closed-grained the wood, the more benefit you get from sanding to higher grits. I don't sand soft woods beyond 220. But I sand hard maples and other woods to 400 or 600 for pieces I know will be picked up and handled. Woodworkers whose hardwood work I admire sand up to 800 or sometimes four-digit grits.