In investing, a common piece of advice recommends a diversified portfolio - in other words, having investments from a wide range of areas to avoid a crash in one area wiping out all your investments. Similarly, I have found that it can be beneficial to have a diversified friendship portfolio - in other words, friends across a wide range of communities or social circles.
For instance, I have a group of friends that I've known mostly since elementary/middle school, a group of friends that I know from the rationalist and EA community in Berkeley, a group of friends that I know from playing certain games competitively... there is some overlap between these groups, but by and large they are separate, and this can be quite valuable.
Because I'm active in multiple circles, if strange things are happening in one community I can step into another. If I need advice on a sensitive situation, I have people who know me well and aren't close to the matter to draw upon. Further, having these sorts of resources and perspectives available can open up options that might otherwise be difficult - if, for instance, I decided I could no longer be a part of one of those communities, leaving wouldn't be the end of my social life.
I sometimes see people -- in the rationalist community or elsewhere -- putting "all their eggs in one basket" when it comes to friendship, and I think that can often lead to pitfalls. If all your friends are from work, what happens if you leave your job? If all your friends are from a certain hobby, what happens if you get bored of it? If all your friends are from a certain social scene, what happens if there's a bunch of drama and that community splits? Having other social connections and communities to interact with can really help with such scenarios.
Lastly, I want to point out that having a range of friend groups can be a useful insulator against bad ideas.  Sometimes strange and unwelcome fads can spread across a community, and if that's the case it can suddenly become a less appealing place. If you have several friend groups to choose from, such things are much easier to "ride out" than if your whole social circle is suddenly into whatever new weird thing. Further, being able to run new stuff by people you know in other communities can serve as a good check on groupthink - being able to say "hey, a bunch of my friends in Berkeley are getting into X, does that make much sense to you?" can be quite a useful reality check!
 One caveat to this -- if you notice that certain friends or communities constantly seem to drag you in bad directions, it might well be time to move away from them!