...they want to.
Leaves fall from deciduous trees due to the release of hormones (yes, trees have hormones) that close off the transportation of nutrients and inhibit the growth of the leaf. The "anti-growth" hormone causes leaves to snap off at a specific point where they're connected to the branch of the tree.
The benefits of losing leaves include conservation of water, shedding of insects (eggs and pupae), limiting the growth of fungus and other parasites. So it's probably best to take all fallen leaves and destroy them or rake them as far a way from the tree as possible.
Sources: Backyard Nature