Because then they are in their natural environment. In captivity they can easily be subject abuse or be mistreated, if not by the owner by a passer-by. It is the way their life works and would make them so much more comfortable and able to live how they would feel it right. Imagine if you were put into the middle of a desert or jungle. You wouldn't be able to behave as you usually would and would wish you were back in your natural environment.