Well in my case, it's because the experience of reading the Lord of the Rings and the Hobbit was very vivid, as if I was actually experiencing the events myself. I don't mean in the sense of a full 3D vision, surround sound, sensorium kind of a way. But in the sense that you get completely immersed in the imaginary world created by the author, and when you stop reading is a sense of "returning" to another world from the place you visited while reading the story. I don't have vivid images at all when reading, or hear sounds or anything, but somehow feel transported to this other world.
So then - if it's something that you experienced - well you tend to remember it, much as you remember things that happened to you in real life - the vividness of it makes you remember it.
So it's not like I've ever had to go to any effort to try to remember what happened. I've re-read the stories several times, every few years, just because I enjoy them, and then remember the details because of that. I've also read some parts of it out loud because the language works really well read out loud, and that also helps you to remember it.
And I've read most, maybe all, of the unfinished tales published by Christopher Tolkein at one point or another.
As well as most, maybe all, of his published short stories and poems.
As to why - well - it's like the reason many people like poetry or music. It carries a deeper message somehow. If it was just an exciting adventure, I would read it and enjoy it. But probably not read and re-read it the way I did.
There are other books that I read in the same way. And sometimes movies and films too. It's like, a way of opening out to new possibilities. Not running away from your daily life. Perhaps sometimes by living and exploring things in your imagination in this way, you can explore things that would be very hard to explore in your daily life, and relate to possibilities that you wouldn't realize were there.
But - it is possible to go overboard in this.
For me - something similar - when I first learnt to program, at one point I got totally obsessed with programming. I'd spend hours on it, sort of like the way nowadays some people get hooked on computer games. Not sure if it happens to quite the same extent now - back then computers were astonishing, almost miraculous. You'd write quite a simple program, just to for instance ask questions in a text based short adventure, and you answer Y or N to the questions and what happens next depends on your answers. I don't mean like a big elaborate text adventure, just two or three questions for the entire program. Or maybe you program it to flash an asterisk on the computer on and off in morse code or some such. It's hard to convey how engrossing such simple programs were back then, for programmers. After a while I got it into perspective, but for a while it sort of took over my life.
At any rate - at worst it is a harmless obsession. And at best it is like great poetry, or music, connects you to something greater than yourself at least as you usually understand it.