Because your shoes will stink. In some places it’s become all the rage to wear shoes without socks, but unless the shoes are really made for that like (top siders, canvas shoes, or other summer style shoes) you’re going to have a stinky shoe after you’re done.
If you’re a girl, you can probably ask your mom how to solve this problem since girls seem to be wearing shoes without any sort of lining all the time, other than stockings.