Partly as a convenience, but partly to work around buggy hardware. The developer responsible for CD burning explained it to me.

Most CD drives cache information about the disc in their internal memory to improve performance. However, some drives have a bug where they fail to update the cache after the CD has been written to. As a result, you can write some data to a CD, then ask the CD drive for the data you just wrote, and it won't be there! The drive is returning the old cached data instead of the new data. For most drives, ejecting and reinserting the CD is enough to force the drive to update its internal cache.

"But wait, it gets worse!" I'm told.

Some drives are "smart" and realize you've reinserted the same media, and then don't update. These drives require that you put in another type of media (or pressed CD-ROM media) to force them to update. These drives were manufactured around 2002, and new drives don't have it this bad, but still have the above problem requiring an eject/insertion cycle.

So there's your tip for the day. If you are burning data to a CD and you find the data isn't there, try ejecting the disc and reinserting it. If your drive is particularly buggy, you'll have to eject the disc, insert a different type of disc, then eject that second disc and reinsert the first one.