The most obvious reason is to prevent a doctored or non-legal ball from being introduced into the game. The second reason is to keep the game moving.
If a ball goes out of play and a ball is returned from out of play directly to the pitcher, there is the possibility that it is not a legal ball in some way. If all new ball put in the game go through the umpire, there is a chance to inspect the ball to make sure it's legal.
Also, at some of the fields I work, if I had to wait for a ball to come back in from out of play before we could resume the game, it would add about an hour to my game times!
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It's what you learn after you think you know it all that's important!
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