Do you mean "why is running a firewall on an individual host useful"? Single-application hosts are quite common, and sadly some applications do not have adequate authentication built-in.

Do you mean "why does Linux allow firewalling based on the source host"? Linux has a flexible routing policy system that can be used to implement useful controls, host is just one of the available fields, it's not meant to be used for trusting on a per-host basis.