Several reasons why you should, but the two biggest are:
1. Your route may not be designed to get you open, but someone else. You might clear out a safety, take double coverage, or otherwise influence the play.
2. If you are number 3 or 4 in the progression, the quarterback doesn't have time to find you, he's going to look for you where he expects you to be. Even if you are covered, the quarterback might want you to be his throw away guy. You cut off your route, you're not in the area, and boom, intentional grounding.
Do. Your. Job. Don't freelance.