Because the act of getting your own bill is a statement. It's no secret that you're doing it because Ted always adds a lobster tail to his steak. Or that you're doing it because you're going to order a water, no appatizers, and the Ruben because money is tight. Once you're outside of specific circles 'being broke' stops being a shared experience and it affects how people view you.

The only time you might be able to get away with it is because you're going to order the 24oz sirloin and don't want to put that on other people. But that's a statement in a different direction and could come off as elitest or insulting.

Pay for what you order lessens this awkwardness.