Because it strips any meta information contained in the file which reduces file size. It can also losslessly optimize the image. See here for details (I've written about it a short while ago): http://hancic.info/optimize-jpg-or-jpeg-images-automatically...
* It sounds great in theory but the previous example only saved < 200 bytes. That's not really optimization, that's overkill.*
That's a fair point, but if you've got a site that's getting hundreds of thousands or millions of views, or a large number of thumbnails, the one-time effort to shrink image size might be worth it.