Well I can't really say why you do it but I can tell you why I do. I usually keep subtitles on for any game I play because there are a lot of times when I get distracted by the gameplay and miss what was just said so its nice to be able to look down and see what they just said (assuming I'm quick enough).
Another thing is that the background noise tends to drown out the dialogue from time to time, and sometimes you can't hear what a person is saying clearly, because you're too far away (Fallout, Elder Scrolls, Dragon Age. etc.). Some subtitles also tell you the name of the character speaking, so its helpful when more than one person is speaking and you can't tell whose voice belongs to who.
It's basically a bit of precaution I take, because if you do miss out on what is being said then you don't have the luxury of rewinding a few seconds.