Why? I've been meaning to do mine and the touching surface is a little rusty.
In addition to the reasons Mike gave, the wheel bolts may slacken off as the soft layer of paint compresses under the clamping load. Just a few 'thou' movement is enough to cause a significant loss of torque on the bolts.
To prevent the alloy wheels corroding onto the hub use thin smear of Copperslip grease.
Cheers Spike