Transfer of Provident Fund?

I joined a new organization in gurgaon recently, prior to that I was in Mumbai. When I approached my new employer’s payroll dept for transfer of PF from my previous employer, I was told that transfer is very tedious and it is better to withdraw the amount. But since it is less tha 5 years old, I dont want to withdraw as it will be taxed. If I dont withdraw the amount and also if it is not transferred will there be any problem?