Because people will start questioning you:
"Why didn't you reply to my message. I know you read it"
"What's taking you long to reply when you are able to see it there and then"
"Why why why?????????????"
Sometimes, they will even flood you messages because they know you're reading those until you finally reply to them.
Worst case scenario, they'll get hurt. They'll jump to conclusions of why you won't reply as soon you read their messages. Because of these, you are pressured to respond immediately, because they're already demanding for your time and it is really annoying when the truth is:
1.) You really don't want to reply to their messages because those aren't important.
2.) If you're the kind of person who is on work mode like me, you'll only have split seconds to read their messages, but have no minute to give a reply.
3.) You can't send a message yet, because you're trying to confirm something to someone before you get back to them OR
4.) You're still thinking of what to answer back especially if that's a serious question.
It's really better if they don't know whether you have read their messages or not. The demand isn't that much. You are also not pressured to send back a message immediately. And by "You" meant ME.