Your extraction site is an open wound and just like the rest of medicine, all wounds need to be dressed. For example, when a patient is rushed to the hospital with open wound, the first thing the attending nurse or doctor does is clean the area and treat it by applying some form of medication and then enclose it to protect it from the environment, preventing further injury or infection. The same thing goes for leaving an open wound inside your mouth.
Leaving an extracted site to heal on its own can cause an array of problems. Not only do you want to protect the wound, but you also want to preserve the bone that once held your tooth in place to reduce future complications.