Because, as the Gore loss in 2000 proves, we don't really live in a democracy. Only state delegate counts, count. And in the general election, a candidate who wins a state by one vote will be assigned all the delegates for that state.
I live in the reddest of the red states. Hell, Bush still has a positive approval rating here. So my vote in the Utah general elections counts for shit. However, if I traded it for someone who would have otherwised voted for Cynthia or Nader in a swing state--it might count for something.
The number of votes nationally that a third party candidate gets is important. If they get 5% of the national vote in the last election, they get invited to debates, etc.
Does that make any sense at all?