I would, because I understand my long term success is more important than my short term stature in my career. Progress is very rarely linear and many a person has been ruined by overreaching their current ability and/or resources. Most of the genuinely intelligent and impactful people in the world know that to leap forward you generally need to build a solid foundation to jump from, and that often includes building the necessary experience in the realm in which you wish to affect change before you can actually work to do it.
It would be a very poor decision if he goes from a relatively stable club, with a squad he largely built, that trusts his methods, which only expectation will be staying up (and if they don’t, his managerial reputation won’t be impacted much due to Burnley’s stature, meaning he’ll have other opportunities if he wants to leave) going in to a league in which he has never managed, to a club in both sporting and financial turmoil, with a fickle idiot with a trigger finger in charge, a squad in disarray (and by many accounts discord), that needs to offload many high earners in the summer, with arguably unreasonable expectations for what constitutes success.
You need to learn to walk before you can run. And you need to learn to run before you can do a 10k. And you need to learn to do a 10k before you do a marathon.
Kompany going from Burnley to Chelsea right now would be him just learning to walk and deciding to run marathon (with his legs tied together). It is very likely not to end well and damage his managerial reputation in the process, given it will be his only top level experience.