Dave is right. The Source engine is terrible at rendering large open areas because of its incredibly outdated rendering techniques. As such, anytime you enter any area with empty space, your FPS will take a hit (if you've got a high-end machine, you'll need to look closely to spot it, or turn on the FPS counter and see for yourself).
Now, when designing an "outdoor" environment, a mapper (well, the good ones) will try and minimise the amount of empty space in an outdoor area. Usually they'll do this by not making large outdoor areas, surrounding the area in buildings or something similar, and good mapping techniques. For example, surrounding the entire map in a giant box is not going to get you anywhere. However, simply putting the sky texture on a single brush to 'cap' an area will work quite well. Think of a cup for a moment: the bottom of the cup represents the ground, the walls of the cup represent the surroundings, and the top of the cup is obviously the sky. Now, encasing the entire cup in a box just to block off the hole is inefficient. Putting a cap just on the top of that cup is much better.
Hope that helps.