Funny, I think that this is the same question that derailed the LAST thread...
Generally speaking its because sometime it might be neccesary to carry a gun to protect your life or the lives of the people you are with.
In countries where the general populace has no access to firearms, it becomes much less of an issue, because you are pretty sure that you aren't going to be shot when you go out for groceries. It doesn't even cross your mind. Here in the US, there are people who will stick a gun in your face for your watch in the middle of the day while you are walking through a park. Not that having a gun, knife, asp, or pepper spray in your waistband in this situation will neccesarily help you, but it makes you FEEL safer. Knowing that if you had to defend yourself, you aren't drastically unprepared to do so. Plus who knows when some crazy bastard is going to walk into your home,place of business,or your church and start blasting people because he hates Israel. In this situation, do you run and most likely get shot in the back, or shoot the guy?
The only drawback to this system is that many people who carry concealed weapons have no idea how to properly and safely use them.
My advice is to go to the range at least a few times a month to familiarize yourself with your weapon, and to gain enough skill with it that if you ever DO need to use it, you will be able to do so without shooting yourself or innocent bystanders. Practice (with an unloaded weapon of course) drawing from your concealed holster, until you can do it without fumbling around like an idiot. This is really the only way to learn that the best places to conceal a weapon aren't neccesarily the most practical places to conceal a weapon. And for gods sake take a weapons retention course. Nothing is more embarrasing than thinking you are Dirty Harry, pulling out your gun, and then having it snatched out of your hand by someone who has seen it done in some Steven Segal movie.
Other people might have different reasons, but IMO this is the best reason.