Because if anything happens you just hand them the keys and walk away.
Anything else may see your having to pay up front and then seek recovery from your insurance company. Absolutely read the fine print on your own policy if you opt to not take the rental company's insurance. The last thing you want is to be liable for damage to both vehicles and the injury / compensation for everyone.
The US is a scary place without solid insurance cover. It's one of the reasons I avoid going there at all.