Because your skin absorbs substances while showering. Typically, 60% of the chlorine that most people absorb daily comes from showering in chlorinated water. Chlorine damages your hair and skin — you can read about the hazards of showering in chlorinated water here.

Shower water also contains things like heavy metals and VOCs (volatile organic compounds). Ideally, all these things should all be filtered out, but filtering water at the showerhead is problematic, because the water is typically hot and under high pressure, making filtration difficult. Carbon filters, which are normally excellent at remove chlorine, cannot handle the volume and heat of shower water.

Because of these problems, most shower filter makers rely on a metallic medium called KDF. Shower filter vendors typically show impressive charts to demonstrate long-term removal of chlorine. However, if you read the tests carefully, you’ll see that they apply to “free chorine” (chlorine that has not combined with other constituents in water), and the reality is that KDF-filters have little effect on “total chlorine” (combined chlorine). In fact, chlorine is often added at the water plant as a blend with ammonia called “chloramine.” KDF is not effective at removing chloramine or combined chlorine.

Here are the details on my recommended shower filters:
http://www.showerfilterstore.com/