Why should I sleep?

Solution 1:

Far Cry 4 has an environment system of day and night. One might not like to explore the world during the night as you don't see as well as during the day. So in this case it would only be to give a way to not-annoy-the-player-with-a-feature.

One other reason, which I did not experiment so I can't tell for sure, is that you might have a better cover at night.

And the last reason, which have not experimented as well, is that maybe some animals from which you get skins to upgrade your gear are much easier to find at night.