Idea: Rule for "public void" method signatures

I don't remember in which book I read this, but the book created a wrapper class for MenuItem that when calling a setter it would return the class itself. So I started thinking: Would it be a bad practice if every time I created a class I would replace a public void with a public MyClass? In other words, use this as a general rule. Why don't we see?

So, let's pretend we want to create an Abstract Data Type called (hmmmm...) AbstractDataType. This class will have a string, an int, a boolean and a double class attributes. So the class would look something like this:

public class AbstractDataType {
    private String aString = "";
    private int anInt = 0;
    private boolean aBoolean = true;
    private double aDouble = 0.0;
}

Let's leave the getters for the moment and just focus on the setters. The signatures of each setter will look like public AbstractDataType set.... So our previous code, now, would look like this:

public class AbstractDataType {
    private String aString = "";
    private int anInt = 0;
    private boolean aBoolean = true;
    private double aDouble = 0.0;

    public AbstractDataType setAString(String string) {
        aString = string;

        return this;
    }

    public AbstractDataType setAnInt(int anInt) {
        this.anInt = anInt;

        return this;
    }

    public AbstractDataType setABoolean(boolean boolean1) {
        aBoolean = boolean1;

        return this;
    }

    public AbstractDataType setADouble(double double1) {
        aDouble = double1;

        return this;
    }
}

So now we could write the code for setting multiple attributes as follows:

AbstractDataType adt = new AbstractDataType();
adt.setAString("test").setAnInt(100).setABoolean(false);

Or, even more cleaner:

AbstractDataType adt = new AbstractDataType();
adt
    .setAString("test")
    .setAnInt(100)
    .setABoolean(false)
;

At first glance it looks quite convenient for a number of reasons but I believe that somewhere there's a performance issue. I am not sure. I would like your ideas and comments on this.