the reason is to that you're not dropping a great big chunk of 34 degrees into your smoker and bringing internal temperatures down. this plus the cold surface of the meat tends to increase the risk of condensation resulting in creosote, not to mention adds quite a bit of time to your overall smoke.
having said that, i usually go straight from fridge to smoker. i feel that the reason i am able to do this is because my smoker is already at 250 degrees or is quickly on its way there. i've never had a problem with this, but i have noticed that the increased time that it takes the meat to rise in temperature helps promote a better smoke ring.
this can cause trouble for people who are new to this art, and i don't recommend it for them, but once a person has gained some experience and understanding into the relationships between the smoker, the meat and the temperatures, then it is something that is worthwhile to experiment with. as i said, i've never had problems, but i will admit that up until this year that was due more to good luck than skill or understanding.