Boomy,
This is, of course, something you and your doctor must decide. I'm still taking triptans with Effexor XR. The FDA advisory on this didn't say that they shouldn't be prescribed, but that they should be prescribed with caution, and patients should know to report certain symptoms immediately if they occur.
Perhaps you could read about this for yourself, then discuss it with your doctor again. There's a report on this along with a link to the FDA advisory in Antidepressants, Triptans, and Serotonin Syndrome.
Hope this helps,
Teri