Because people are silly. Now it's not as if smoking meth is like exercising or taking vitamins, it's not exactly good for you. But on the same token, it's not as if holding in the smoke is like playing Russian Roulette either.
Now the reasoning behind why not to hold in the smoke is different for every person you hear it from, it all depends on how cracked out the meth freak is when he is babbling to you. The most commonly quoted "reason" I've heard behind not holding in the smoke is because, apparently, if you hold the smoke in, the smoke will begin to re-crystallize in your lungs and deposit itself there. Of course, eventually, this will cause all sorts of poopie down the line...
Now I can see where some observant speed freak one day might have noticed his meth re-crystalize after a few seconds, in the pipe or on the foil as he smoked it. And from there logically concluded the same must be occuring to the smoke once it's in your lungs. Well, the obvious solution is to exhale the smoke immediatly and not hold it in, thus, not giving the meth time to re-cyrstallize in your lungs and cause poopie... Which is not exactly a bad assumption, I mean, it's not as dumb as some other common drug myths out there, but it's still not correct....
Now the common reasoning behind why this logic is incorrect works on one very basic principle, see, meth is soluable in water. When we smoke the meth the smoke is being absorbed through our lungs just like normal, nothing changes at all, and the amount of time you hold it in will only change the amount absorbed. And, now that we know the key bit of information, that meth will totally dissolve into water, we can deduce that even if any meth at all were to somehow re-crystallize itself in your lungs, it would almost immediatly be absorbed into the moisture lining your lungs and then into the lungs themselves.
So, in the end, there isn't any scientific reasoning behind not holding in meth smoke specifically. Now of course, holding ANY smoke in your lungs is much worse than just exhaling right away. So even if they speed freaks don't know the reasoning behind why not to hold in the smoke, it's still decent advice...
But who cares because smoking speed sucks anyways. Now for one last lesson today, we can go back to our fact for the day: that meth is soluable in water. To avoid all of this, just dissolve the meth in water and bang into your vein. Or just eat it, both work equally well, and are much much better than smoking it.