Because standing on planes is boring. And immigration lines are long. Plus, the sooner you get off the less likely you are to get stuck behind the family of twelve with over-size rollaboards and no idea that you would actually like to leave the airport rather than spend the next hour toddling up the jetway behind them.
It does get slightly ridiculous sometimes though. Was on a BA flight to EWR. Aircraft stopped by terminal building so everyone got up, put on coats and hauled down their bags. Captain then switches on intercom to request nobody unbelts til we've been towed onto stand. Roar of laughter as pax attempt to squash selves plus possessions into seats. (Didn't need my seatbelt - would have faceplanted into my bag if the plane had stopped suddenl)