Good Question! Dropping into a hole can speed up the game for the more "experienced" player, not having to wait on Wally to float to the ground can save you valuable seconds. Dropping the chute also stops the timer at the top of the screen. This timer calculates your "Air Time" (the amount of time you spend with you chute open). Your best score along with your Air Time is displayed at the top of the main menu. Future versions will factor Air Time into online scores and certain achievements.
Another good reason to drop your chute is quickly avoid certain arial predators.