It is an archaic rule. Here is an answer from wiki answers that explains the reason. The defense needs to maintain control, just like when you tag a runner and you have to hold onto the ball.
[h=1]What is the purpose of the dropped third strike rule?[/h] In:
Baseball Rules and Regulations [
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Answer:
[h=2]The defense must control the ball[/h] It speaks to the necessity of the defending team to maintain control of a ball in play.
[h=2]One of the oldest rules in baseball[/h]
Actually, logic does have a lot to do with it. You have to complete the play in baseball. That's one of the oldest rules. The catcher has to control the ball, or it is in play. The fielders have to control the ball on the catch, or the ball is in play.
[h=2]19th Century rule[/h] The rule is one of the oldest in baseball, predating the "walk" or "base on balls." Before the existence of the walk, batters were not compelled to swing at pitchers as they are today. (In fact, there once was a time when batters could tell the pitcher to throw the ball high or low.) After the second strike, however, umpires could declare a subsequent pitch "good," which would compel the batter to swing at the next potentially good pitch. (In other words, he was given one warning!) After two strikes, if a batter "stuck at" a good pitch -- that is, if he swung at it and missed -- or if he failed to swing at a good pitch after having been warned, the batter was declared out. It was called a "hand out." If, however, the catcher failed to hold on to the ball, it was as if the batter put the ball in play. Oddly enough, "striking out" was as good as putting the ball in play if the catcher failed to hold on to the ball. The old rule books said as much. When I find a link to an archaic rule book, I'll post it. The logic was -- and still is -- that the defense must be in control of the ball when retiring a batter or base runner.