I believe we can technically create a flow rule in data class, but typically flows are created in Work classes.
Data classes normally contain properties, sections, decision rules, etc for reuse, but I don't think I've ever seen flows getting created in data classes. Unless you have a very special requirement, flows should be defined at the work level for standard.
Its an interview question seems, in real time flow should be created in work class. Because you are performing some action. When it comes to data class all the work is done then it should me maintained in some where. So we use work class for performing some action, and data class for maintaining that performed action.
According to your question, we can create flow in data class. Pega never restrict you to create this.