No. I think it is a rather bad practice.
Indicating visually (on blur) that data entered is bad can be a good practice, but forcing the focus back to the bad-data-field is a bad practice.
It seems like the end result of such behavior is that it forces the user to enter the correct data into one particular field before they can move onto any other. It doesn't help the user any more compared to letting them complete the form in any order they prefer (and fix their entry omission in any order they prefer too). It is likely to only frustrate them as the mental analogy is the one of being micro-managed. Presenting multiple input fields all on one page sets the user up with an expectation that they're at the discretion to choose what to work on. If the end result of the behavior described in the question is necessary, a way to handle it more gracefully is to only present one input field per screen/step/page.