I just got my code review, and it sounds like it was more of a philosophical objection on his part. He's of the opinion that you should handle sorting in your program rather than make the DB do it. I disagree (pretty strongly), but that is at least a reasonable objection.
Most places I've worked, the machines that hosted our DBs were much beefier than the machines we did processing on, so I always made the database do as much of the work as I could. Plus, it seems to me to be a bit like reinventing the wheel to sort the results of a query in your script when the DB can do it for you, and is specifically set up to optimize such a sort.
Anyway, it sounds like I had just misheard why he was asking other coders to avoid ORDER BY statements.