Because your bones bend, and the hardwear does not. You'll hear mixed recommendations from orthos on this ("I usually don't recommend guys get them out unless they're racing motocross or something. Or it starts to bother them.") Paraphrasing, but those were almost his exact words.
My intramedullary nail bothered me more over time as the bone remodeled/calloused. When I got it pulled, the iridescent coating on it was rubbed off at the fracture site. I think, and I believe my last ortho (I saw four over the course of four years) agreed, that the bone began to rub on the metal as it remodeled and calloused. It hurt more 3 years later than it did the winter after it happened.
I also believe that it can be a bit harder to get them out as time goes on due to the bone growing around screws and holes in the bone and such. The removal surgery has a short recovery period. Basically as long as it takes the wounds to heal. Crutches for maybe 2-3 days. You'd probably be skiing again in a month. Only thing preventing you from it is the wounds themselves.
YMMV.
Other recommendation is to do toe taps and keep the tendons in your lower leg as active as possible--even when you're non-weightbearing. Not sure how fast you were going, but mine break was really high-energy. I developed a rare "Checkrein Deformity," which none of the orthos was able to diagnose/treat until I figured it out myself by reading Wheeless Textbook of Orthopedics. When I showed it to my last MD in Fall 2012, he agreed with me and I finally had the indicated surgery for it--three years and nine months after the injury. My case was particularly shitty, but it doesn't hurt to be careful and try to work your tendons as much as possible.
What kind of fixation did they use?
Edit: I should also add that the other, and probably most obvious/important, reason to get it removed is that if you rebreak it, it can be quite bad and a huge pain for the ortho to deal with. That's obviously not a sure thing, and hopefully doesn't happen, but it's certainly a possibility when you're into things like alpine/BC skiing, mountain biking, climbing, etc.
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