Actually, we get this question far more than we would like, and yes to those who are asking it still, there are some good reasons...read further...you will benefit greatly!!!
Our Western Cape Registered Consultant, Francois Swanepoel, explains it in his blog.
Our comment in short :"Architects often wish to output the same model in several versions, using different pen colours or pen weights each time to meet different requirements for scale, colour or emphasis." Considering this typical architectural scenario, for example, a section in 1:100 will show a wall with probably a 0,35mm outline pen thickness, but the same section in 1:10, will probably show the wall outline in more detail, like the brick and plaster separately, hence needing to show these 2 lines in varying line thicknesses. Remembering the word "same" in reference to the section and specifically to the "same" wall, we now identify the need to show the line weight differently for these two views of the "same" wall element, in the "same" section view. We certainly would not want to show two walls, or draw duplicated lines etc. , hence we use pen sets, which are a smart way of showing essentially the same pen assigned to an element in different colours and thicknesses in relation to output requirements.
Direct link to Francois' blog.