On the GitHub site there is a link...
https://help.github.com/articles/generating-ssh-keys
... and it states...
If you have decided no
Maybe because it's harder to steal a password from your brain then to steal a key file from your computer (at least to my knowledge, maybe some substances exist already or methods but this is an infinite discussion)? And if you password protect the key, then you are using a password again and the same problems arise (but some might argue that you have to do more work, because you need to get the key and then crack the password).