In Puerto Rico, When should I NOT take a Quarry when I have the opportunity to?
The simple answer to this question, is how much value is the quarry going to gain you over and above the other options your have to choose from. This comes down to the stage of the game, the competing products of your competitors and the value the goods that are on offer as alternatives.

A quarry saves you money when building, but only a maximum of 1 coin per build.


You may already have all the buildings you want/need, without triggering an end of game scenario
You may have plenty of money so an extra coin is of little value to you
You may not be using a building strategy to win the game, but be cautious with this one, as balance is key
You may get an extra worker for building, if you have that specific tile with that function.


A good offers you the opportunity to sell / ship


There may already be too many plantations and not enough goods to go around, so this may not be a good option
You may need a factory to produce your good (with the exception of corn) and not have time to build this, so plantation has no value
You may already have a factory with a spare space, so another good of a particular type may allow maximum efficiency from your factory
A good may be of high value (like coffee/tobacco) that gives you far more money than you would hope to gain from a quarry, by someone visiting the Trader.


And needless to say, all of this depends on your opponents positions, and your future potential actions.