Because when you do a series of books, ethically you are making a contract with the readers that you are going to finish it. No-one will buy your books, if this wasn't the case. People don't want to read unfinished series.
If GRRM really doesn't finish this series, I think that it will have a very bad impact in the entire fantasy community. Likely, the editors and publishing houses won't accept anymore long series (especially to authors which aren't very famous or to authors which have problems with deadlines) and so we will see more standalones in the genre. Which is a bit of a shame, cause long sagas works best in fantasy.
Also, the Wheel of Time had a similar history. Robert Jordan lost its way in the story (very similar to Martin) and eventually died without finishing it. As the biggest epic fantasy saga since The Lord of the Rings, the effect on community was bad. ASOIAF now has finally reached similar popularity (to a degree thanks to the show), so it would be a shame if something similar happens. And unlike in Jordan's case, Martin is very healthy to do it.
Of course, at the end of the day he doesn't have a legal obligation to finish it, and can just retire in tens of millions of dollars he has earned from this series. But does he have a moral obligation to do so? I think that he does. He has earned a shitload of money because of this unwritten contract that he'll finish the story. And so, he should do his best to really finish it. Or if he can't/doesn't, it would be a decent thing to leave it to someone else to finish it.