Three considerations on why some people may want to "blend in": foreign tourists do seem to get specially targeted by pickpockets and scam artists--not only because we have nice goodies that are valuable on us but because we aren't likely to hang around for months and testify at trial in the unlikely event they get caught, so it's a risk free game. So looking like an obvious non-resident tourists may get you targeted by the bad guys.
Second, dressing in certain ways by women tourists--skimpy or tight clothing, for example--increases the odds of unpleasant and unwelcome male attention in some places, particularly in southern Europe. Unfair, I realize, but that is reality, too.
Third, I have found it easier to strike up conversations and interact with the locals when I am dressed like and act like they tend to expect people to act. Those interactions are for me a treasured part of travel. (For others, this in not a big deal--they travel to see sights or do activities rather than to meet people.)
Nobody is suggesting that you can't, as you say, wear what you want to wear. But posters here who realize that there are some real advantages in dressing to blend in and some disadvantages in sticking out as an obvious tourist often write in because they are looking for advice about precisely what kinds of clothing or shoes might be a giveaway in a particular place. And those with experience here are happy to chime in with information.