Some people consider it the academic equivalent of in-breeding. There is exposure to only one set of professors and their views, approaches and academic standards.
By moving around to other institutions, you would be exposed to different professors, views and standards.
You might do well at one school, but if you do well at two or three other schools, it speaks more strongly of your ability.
The common adage that travel broadens the mind probably, in principle, comes into play as well.