I know the usual reasons that apply to general immutable classes, viz
Here is an example where it would be quite bad when Integer would be mutable
class Foo{
private Integer value;
public set(Integer value) { this.value = value; }
}
/* ... */
Foo foo1 = new Foo();
Foo foo2 = new Foo();
Foo foo3 = new Foo();
Integer i = new Integer(1);
foo1.set(i);
++i;
foo2.set(i);
++i;
foo3.set(i);
Which are the values of foo1, foo2 and foo3 now? You would expect them to be 1, 2 and 3. But when Integer would be mutable, they would now all be 3 because Foo.value would all point to the same Integer object.