I've always heard the predator idea. Think about it - leftover shed skin for a animal that stays in one territory screams, "Look there is something to eat here!"

It is more rare for geckos NOT to eat their skin, but I'm finding as my leopard gecko gets older she gets lazier and doesn't always finish every bit off... on the other hand she used to climb to the highest point in her enclosure every rainstorm and now she finally believes us there is no flood coming and stays in her hide. So, again, probably lazy and knows there are no threats to her.