From The Matrix, when Morpheus introduces Neo to the matrix:
But as in many computer programs, some rules can be bent while others can be broken.
It doesn't mean Neo can do everything, it means, similar to a computer cracker, he can exploit weaknesses in the design of a system (i.e., the matrix). He can bend some rules in order to move really fast and he can break some in order to fly (the distinction when a rule is bent and when broken is not a clear cut, though --- especially not for the audience).
It is never even hinted, that Neo ever managed to teleport. It's just not something he could do in that system. Maybe it would be theoretically possible, we don't know, but he never figured out how.
If you are thinking about disconnecting and reconnecting, that would be really hard and risky, because it also takes a lot of time and there wasn't any hardline in the vicinity of a) his current location and b) where he had to go.
So, he had to fly to the nearest hardline (which could be quite given he was standing in the middle of nowhere), disconnect, jack back in, and then fly to the highway (which again could be far away from the nearest hardline).