Impracticality only depends on your tech level, and how long you're willing to wait. The Earth's crust is 30 kilometers at it's thinnest (for the continental crust anyway), though the Kola Super-hole showed us that around 13.5 kilometers down temperatures can start to become hazardous for humans (180 degrees C for Kola). They theorized that temperatures could be around 300 C at the target 15 kilometer depth, which would make your typical human infrastructure un-usable, and certainly make habitation impossible.
But the point is, down to 13 kilometers you should be fine. 13 000 meters, straight down, free to do pretty much what you want within the constraints of material science. That is an enormous working envelope. Aside for the lack of need for such a big thing, I don't see why an advanced race wouldn't make full use of the space. Oh, and this is using the Earth as an example, it's also perfectly possible to find another planet that has either lived longer or somehow cooled faster. This would give it a much thicker solid crust, with potentially several dozens of kilometers for us to drill into and colonize.http://en.wikipedia.org/wiki/Kola_Superdeep_Borehole