Because if you don't, players will get brazen and attack everything you put in front of them because they are confident that they can defeat it. They stop thinking and the game stops becoming a challenge. A both a DM and a player, I think there has to be a chance of running across something that can't be handled. There should be reasonable clues that it is too rough so it can be avoided or the ability to run away, but there should always be the possiblity of something bigger.
Sometimes the players get ambitious and decide to take on something bigger than they normally could expect to handle. If they succeed, they are well rewarded and even if they don't it usually makes for a memorable (and enjoyed) game.
In the past, I've specifically use the Tomb of Horrors as an example. The players were told at 1st level that the Tomb of Horrors was mapped out and if they happened to stumble across it at first level and dared to venture inside, they were going to get what they deserved. Of course, it would be doubtful that the players would ever head to that area of the world and be able to fight their way through the widerness surrounding it, but it was the easy example of how they needed to pay attention to what they were doing. The main plot hooks thrown out to PCs are usually level appropriate because those are the ones that their characters would be paying attention to, however I usually try to also inform them of something higher than their level as well as lower and if in the mood, the inform me before the session what their plans are.