If we didn't collect them, the air would be full of old sounds and noises bouncing around and bumping into things. It would be terribly confusing because you'd never know if you were listening to an old one or a new one.
In Chapter 12 we learn that one of the Soundkeeper's many jobs is to collect and catalogue all the sounds in the word. In this quotation she explains why this function is so important in a way that indicates much about the world of the Lands Beyond, namely that sounds there do not function as they do in the real world. Just as words and number are physical objects in the lands, so are sounds, and they must be snatched out of the air lest they create a terrible mess. The Soundkeeper's description of the chaos that would occur if she stopped doing her job also relates to the concept of order that Milo learned about when he tried to take over Chroma's job of conducting the color orchestra. Juster suggests that without proper order, the world would be a horribly confusing place.