I like when the world has some resting spaces. Resting spaces are not really "empty", but less exciting or full of busy features; for example, a relatively peaceful forest with occasional monster encounters interspersed between dungeons and other high-action points-of-interest. However, I don't like games where I spend more time running to someplace than I spend at thoses places, but yeah, it is definitely possible to have too much stuff packed too close together. 

Runescape, for example. The world started out pretty well balanced early in development, but as jagex added more and more quest locations, features, and points-of-interest, it got way too busy. It never feels like you actually leave the metropolis areas anymore. You go from castle to "secluded dungeon" without ever getting away from buildings and shops. "distant kingdoms" are jammed right up against each other like inner-city apartment buildings.

I don't think size is as important as ratio of features-to-resting-spaces. If your game has a lot of features, make the world big enough to have enough interstitial space between those features, but not so big that it stops feeling like an adventure. 10 minutes of nothing but running with no features or events is too much resting-space. 10 seconds between features is not enough resting-space. I think the elder scrolls games did pretty well striking this balance.