Because you may be removed from Google's or MSN's index. I have a site that was removed from msn's index for being "part of a link exchange" which they consider to be spam and it is also penalized by Google.
Of course, we had linksmanager with tonnes of reciprocal link exchanges with unrelated sites and co-op links which are usually unrelated in the footer so that's pretty spammy. Link exchanges between related sites on a small scale shouldn't be a problem but I think I'm a little scared away from reciprocal links altogether and would hide them with javascript or, if they're on a separate page, block the page with the robots.txt file.
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