More is better, and you do get diminishing returns. At some point, a current source is a better solution - it has higher impedance than any choke, and does so at all audio frequencies.
A current source means a 50% to 100% higher power supply voltage at the same current, which of course is larger, more complex, dissipates more heat, and is more costly. So when the cost, difficulty, and size of a larger choke exceeds that of the larger power supply and current source, it becomes pointless (in an engineering-economics sense).