The reason being that the socket that is on the Arduino board is not designed for repeated insertions and extractions; over time you will wear it out, and contact will become intermittent.
I hear what you are say and I can't disagree with the possible failure mechanism, however I've cycled chips into and out of my Arduino 328 clone board literally hundreds of times and have never had a problem. I've also plugged the chip in backwards and off-by-one a couple of times without chip or board damage, but of course I don't recommend one do that on purpose. 
Lefty