I've written a function that asks a user for input until user enters a positive integer (a natural number). Somebody said I shouldn't throw and catch exceptions in my function and should let the caller of my function handle them.

I wonder what other developers think about this. I'm also probably misusing exceptions in the function. Here's the code in Java:

private static int sideInput()
{
    int side = 0;
    String input;
    Scanner scanner = new Scanner(System.in);

    do {
        System.out.print("Side length: ");
        input = scanner.nextLine();
        try {
            side = Integer.parseInt(input);
            if (side <= 0) {
                // probably a misuse of exceptions
                throw new NumberFormatException();
            }
        }
        catch (NumberFormatException numFormExc) {
            System.out.println("Invalid input. Enter a natural number.");
        }
    } while (side <= 0);

    return side;
}

I'm interested in two things:

1. Should I let the caller worry about exceptions? The point of the function is that it nags the user until the user enters a natural number. Is the point of the function bad? I'm not talking about UI (user not being able to get out of the loop without proper input), but about looped input with exceptions handled.
2. Would you say the throw statement (in this case) is a misuse of exceptions? I could easily create a flag for checking validity of the number and output the warning message based on that flag. But that would add more lines to the code and I think it's perfectly readable as it is.

The thing is I often write a separate input function. If user has to input a number multiple times, I create a separate function for input that handles all formatting exceptions and limitations.