Why? Because there are over a million dust mites living on your sheets at any given time. Since they need a damp, warm atmosphere to breed, they benefit from the sweat your body creates overnight.
When you make your bed as soon as you wake up in the morning, it traps all of those mites between your bedsheets and your mattress (right where all of your sweat is), creating the perfect breeding ground for them.
However, leaving your bed unmade exposes your sweat stains to more air, which dries them out. That causes the mites to dehydrate and die. It won't get rid of all the mites, but it will certainly reduce the amount of them. That means your allergies shouldn't be as bad.
There you have it. Now you have something to tell your mother when she yells at you for having a messy room. Are you going to stop making your bed from now on, or will the mess be too much for you to handle?