Without being too graphic, chickens have one single hole, called a "vent", where everything comes out of (both eggs and poop). The egg thus comes into contact with chicken poop bacteria. While you aren't using the shell in your food, the shell does come into contact with your hands, the bowl (if you crack them over the edge of it), and possibly even some of the egg, as it slithers into your bowl or cooking pan.
Arguments rage over the proper way to sanitize eggs. Some say that you can wash them with cold water and a soft scrubby, some that you should use hot water and antibacterial soap or even bleach, and some say just wipe it off with a cloth. When an egg is laid by the hen, it comes with a protective layer on it to keep bacteria out. When you wash the egg, you are removing that protective layer. Most people agree that if you do wash the egg, you should do it just before eating it. So that's what I've been doing. I'm most comfortable with hot water and a small amount of dish soap.