If you don't receive any spam, there may be no need to filter spam. However, once one spam message has been received, it is invariably followed by many more. Spammers can sometimes detect if a spam e-mail is viewed, using techniques such as Web bugs, which are tiny images in HTML e-mails that are fetched from web servers, and then know that an e-mail address is valid and vulnerable. If spam is filtered, the initial e-mail may never get seen, and consequently the spammer may not then target the e-mail address with further spam.
Despite legal efforts against spam, it is actually on the increase. In Europe and the US, the recent legislation against spam (Directive 2002/58/EC and bill number S.877 respectively) have had little effect and spam is still on the increase in both regions.
The main reason for this is that spam is a very good business model. It is very cheap to send spam, as little as one thousandth of a cent per e-mail, and it takes a very low hit rate before a profit...