Usually when one used a Teleportation gate, they would pass through a gate that would naturally slow them down. But for Lin Mu and the rest, their current destination seems to be situated in the void and there was no such gate.
In their conflict with the Death Aura, Lin Mu and and the rest had forgotten that they would still have to deal with this at the end.
"Shit! BRACE FOR IMPACT!" Lin Mu warned as the Longgui Bulwark Armor appeared around him.
Their speed was quite great and even for an Immortal, colliding into a solid object would be enough their bones crushed. A Body Cultivator like Lin Mu might be able to take it, but that didn't mean he would be completely fine. He would still take some damage and be dazed by the impact.
Then there was also the fact that they had no idea what kind of danger was awaiting them next. Thus it was highly important for them to be fully ready for it and not be injured.