Mostly because you can get it louder, and usually louder can trick you into thinking it sounds clearer or "better". Plus there's the history with the whole loudness wars.
All broadcast radio is highly compressed. Without it, it would be inaudible in most practical listening conditions (car, walking on the street, in your kitchen cooking).
There's also a psychoacoustic effect: compressed audio sounds louder, even if at the same objective SPL. Probably because very loud sounds are naturally compressed by the mechanics of the ear system saturating at high SPLs, so artificially compressed signals are recognized as 'loud sounding'.