Most of the time it doesn't actually, and most people should definitely do it way more instead of pretending to understand thinks they don't, but this bad habit is probably gained thanks to the school system where asking a stupid question is going to get you mocked by your peers. The thing is, IRL your peers don't get to hear your stupid questions and knowledgeable people are happy to answer them no matter how "dumb" they are (or they don't like questions at all, and you'll bother them even if you asked interesting questions).
See https://danluu.com/look-stupid/