It really depends what flights you are looking at. Some airlines simply price their round-trips as the sum of two one-way tickets but that is the exception rather than the norm. Most times, it is cheaper, and often by a considerable amount, to buy a round-trip ticket.
Therefore the main reason is to save money.
There are other conveniences such as getting your entire journey determined at once which saves the hassle of trying to find a matching pair of tickets that suits your needs.