I feel like you could ask similar "why" questions about everything design-related. "Why is no one asking why good-looking, modern designs are necessary?"

Many people interpret quality of design as an indicator of content or product quality.

To address your particular question, depth creates a more realistic and visually interesting representation of information on a screen. It can also serve to indicate the priority of information on a page. If depth draws your eye to or away from a particular element, it can help to achieve the designer's goals.