There's a few reason why someone might want to do that. It might help increase your aquascaping options, for example. It might also give any structure you decide to make less likely to unexpectedly fall apart and hurt / break something.
A lot of times you can just stack your rocks and by manipulating them around you can get them to interlock together.. if your doing complex structures or pillars using glue, epoxy or drill your rock and using acrylic rods is a good idea. BTW.. welcome to R2R