Because a large part of the value is to show it off to your friends. "Look I have rare X and you don't". If it is stole though the people are are most likely to be impressed are also the most likely to know it is stolen (they might even check). Many will turn you in because they hope that it ends up in auction in a few years and then they can buy it for their own collection to show off. It might even be more valuable to then because they can say they found it stolen, and then bought it from the rightful owner which adds to the story.