From Once Interrupted, Give It Your Full Attention - Admired Leadership:

Good leaders do their best to prevent distractions and avoid interruptions.

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But no matter how much planning goes into eliminating distractions and arranging the physical work environment to enhance focus, people (and pets) interrupt the flow.

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Once interrupted, it often makes the most sense to give the source of the disturbance your full attention. If it’s going to take a few minutes to redeploy your focus anyway, why not achieve the equally important goal of doing what leaders are meant to do: focus on the problems and issues of others.

This really makes a lot of sense. Our brains will more-than-likely try to pull us back to whatever we were doing before the interruption (see the Zeigarnik effect). However, if you follow your instincts on this, you have to go through the pain of another context switch whilst the thing that generated the interruption presumably remains unresolved.