Except: My involvement in these activities doesn't leave much, if any, room for the kind of detachment that daydreaming requires.
It has varied a bit depending on the timeline, but: Going out for a walk (or to just change environments and very passively stare at nothing) has been less socially-acceptable than going out for a smoke, in my experience.
One of these things is weird, or perhaps inducing of ire ("How dare he just go outside when he feels like it! What is he even doing?").
The other is, at worst, both understandable and disgusting ("Of course he's out there again with that filthy habit!").
Now that few people smoke, I don't think they are seen as a valid excuse to duck out for a few minutes.
"I need to stretch my legs" is probably better these days.