Cooling the oil prevents it from breaking down and losing its lubricating ability. Remember oil does two things: lubricate and cool the engine.
Pumps create oil flow. Restrictions create pressure (and lack of restrictions create no pressure). That's why one of the signs of a worn out engine is low oil pressure.
Oil/transmission/rear end coolers are for vehicles under heavy load like towing or continuous high output. Removing the extra heat allows it to operate much longer at high output than if it was not removed.
