Mostly that you don't want random people to know how much you make, and unless you are a public figure there's no reason why it should be useful to the public.
In the USA they have been private for a long time (forever perhaps, I don't know the full 200 year history on them). In modern times (2000 or later) they have certainly been very private, though.
Whats the argument for being selectively harassed by leaking your sensitive financial details?
