Several reasons. But I would guess a big part is that air pressure drops with altitude. 1atm is the pressure at sea level. According to my google-fu the air pressure on Mt Everest is a mere 0.33 atm.
You don't want your light bulb exploding when it breaks, especially if part of the reason you put a special gas in it was to prevent it from imploding when it breaks.
Now of course most people live significantly closer to sea level than to the peak of Mt Everest, but if a gas is heated in an enclosed space, its pressure rises.
Also, if you have to choose between shards tending to go inwards or outwards when the bulb shatters, you'd probably prefer them tending to go inwards, provided it's not so fast they shoot past the middle as they would with a much lower pressure.