This is likely to be a mandatory requirement of your Insurance company and if you don't, and it gets nicked, you may run into problems  
Really? I thought it would only be if you leave the keys in your car.  
I personally always close the car door if i step out of the car and if i have to move anywhere over 5m from it, i will lock the car aswell.  Far too much that can go missing int he car and the car itself.  
  
Its very simple, if your not in it, lock it