To Show Your Knowledge of the Subject
Writing that "shoots from the hip," without citing sources, is fine for many purposes, an Op-Ed piece, for instance, but not for academic writing.
Without establishing that they have researched and studied their subject, writers can and do appear intelligent and witty, however, the question arises: how much do they really know about their topic?
Citing and documenting source material in your work shows your reader how knowledgeable you are regarding the facts and background of your subject. Your reader will know that you've put time and effort into making sure you "know whereof you speak."