The main reason is compilation time. Compiling one small file when you change it may take a short amount of time. If you would however compile the whole project whenever you change single line, then you would compile - for example - 10,000 files each time, which could take a lot longer.
If you have - as in the example above - 10,000 source files and compiling one takes 10 ms, then the whole project builds incrementally (after changing single file) either in (10 ms + linking time) if you compile just this changed file, or (10 ms * 10000 + short linking time) if you compile everything as a single concatenated blob.
