Because the mileage run in this case is a circuitous way to get to somewhere I incidentally needed to be. And since the ticket routing happens to look like a direct flight (ATL-JFK with a stop in BOG), it'd be more convenient for me to check my bag to my destination if they were going to stay on the plane. That way, if I did decide to clear customs in my layover I wouldn't have to cart the bag around.