With many banks you can do it online too, you don't have to call.

If your account has a history of being used all over the world without issue, chances are their fraud software will not notice it being used someplace.
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If it's never ever been used out of the country, and it's picked up being used in a high fraud area, there's a better chance they will put a hold on the account until they verify with you it's OK.

Not all banks will stop it, nor will they stop all customers, but it' just like when two people use their card ten times at an outlet mall. Chase may catch one and want to verify, and may totally miss the other.

It's just one way to keep from it being a hassle should their fraud system think something's wrong.