Because splitting things up is good program design. Good program design is all about modularity, autonomous code modules, and code re-usability. As it turns out, common sense will get you very far when doing program design: Things that don't belong together shouldn't be placed together.
Placing non-related code in different translation units means that you can localize the scope of variables and functions as much as possible.
Merging things together creates tight coupling, meaning awkward dependencies between code files that really shouldn't even have to know about each other's existence. This is why a "global.h" which contains all the includes in a project is a bad thing, because it creates a tight coupling between every non-related file in your whole project.
Suppose you are writing firmware to control a car. One module in the program controls the car FM radio. Then you re-use the radio code in another project, to control the FM radio in a smart phone. And then your radio code won't compile because it can't find brakes, wheels, gears, etc. Things that doesn't make the slightest sense for the FM radio, let alone the smart phone to know about.
What's even worse is that if you have tight coupling, bugs escalate throughout the whole program, instead of staying local to the module where the bug is located. This makes the bug consequences far more severe. You write a bug in your FM radio code and then suddenly the brakes of the car stop working. Even though you haven't touched the brake code with your update that contained the bug.
If a bug in one module breaks completely non-related things, it is almost certainly because of poor program design. And a certain way to achieve poor program design is to merge everything in your project together into one big blob.
