Because they can be used against you and you won't be able to deny the message has originated from you, which is a desirable security/privacy property in a messaging app setting. OTR, and mpOTR[1] in particular, try hard to remove non-repudiability from messages.
To be clear, it's a desirable property that parties engaging in a conversation are able to verify authenticity of messages and that they indeed originated from their authors. It is undesirable that the parties of the conversation are able to definitively prove to a third party, not involved in the conversation, that a message was indeed originated from a specific person.
Why not?