Because of how most mechanical pencils are designed, they’re never really comfortable to pocket and walk around with. Even pencils with retractable tips, such as the Pentel GraphGear 1000, are relatively pointy and intrusive.
Pentel’s Kerry Sharp is different and is the only mechanical pencil I know of with a cap. When capped, the Kerry Sharp is unlikely to perforate pockets or poke any thighs. The cap is also said to improve the pencil’s balance when writing.