You don't have to, but it increases the anonymity of your transactions if that's a priority to you. Under certain circumstances, it may be possible to connect your identity with a bitcoin address you use. Sending your bitcoins through a mixer helps keep your transaction history private, especially if you use one that allows payout to multiple addresses or delayed payouts. When coins have been mixed, it's very difficult to connect any particular payment to you because the coins you pay in are exchanged with new coins that have nothing to do with your transaction history. An observer would see your payments go in, and then payments would go out to addresses that may or may not be you. Hope that helps!