The reason why people ask this question is fear! They have heard stories about how pirates of the net are able to upload a virus to your system and use that open connection that your router and modem provides to take over a computer during the night and use it to do any number of unspeakably evil or illegal things with it.
There is also a secondary fear of war-dialing (or war-driving). That's a practice where people in search of a free connection walk or drive around town looking to find any open connection that they can use.