3 reasons:
1) More precision.
2) More buttons.
3) Comfort.
Standard optical mice have a resolution of 400 DPI (or PPI, if you want to get technical). That means for every inch you move the mouse, the cursor moves 400 pixels. My mouse has 4000 DPI. That's 10x's the precision. What does that mean?
A) I can adjust the game's sensitivity and be 10x's as accurate with the same mouse movement.
B) I can keep the sensitivity the same and be able to move 10x's as fast with the same accuracy.
C) I can do something in the middle - be able to turn faster and be more precise.
If you've ever played a game where you're trying to put the crosshair on a guy that's like 2 pixels tall, you know useful it is to have more precision. I'm more of a twitch gamer, so I use a high sensitivity value so I can spin around and shoot people to the side of me or behind me, but if there's somebody off in the distance I need to snipe, I can't easily hit them if my mouse doesn't have much precision. Back in the day I had to have a bind to adjust my sensitivity when aiming at distant targets because I would literally skip from like 2 pixels to the left of them to 2 pixels to the right and sometimes couldn't actually get my crosshair on the person to hit him.