That is a common policy, but is not always strictly followed. I know a professor who did his undergrad and phd at one ivy league school and is still a prof there. My undergrad school told me they would not admit me to grad school there because they felt I could get in somewhere much more prestigious, which I did. But if there are other things to consider, they may make an exception. For instance, I have a family, and my husband has just started a new career and our kids are very young. We really can't move right now, and were I in your situation I would be explaining this to the department. But if it's just that you like where you are and it's a good school, then you should still go somewhere else. Varied experiences are important.