Well, it's basically an old school thing, for 2 reasons.
1. Leaving it in gear means you're also using engine braking. Save your brakes a tiny bit.
2. If you need to speed up for whatever reason, you don't need to hunt for a gear. Just step on it, and you will get some acceleration.
I'd admit that for our modern cars, neither is important. If you've always cruised in neutral, I wouldn't ask you to change. But for a new manual driver, call me old fashion, but I'll point out the best way to do it.