I believe it is the same idea that Midlife mentioned on manual transmission cars. When you turn the key off, the transmission should be in reverse. If I remember correctly, when you put the transmission in a forward gear the key will not come back far enough to remove it. Moving the key back to the off position and removing the key when in reverse locks the transmission in reverse gear.
I assume it was to avoid someone shifting a parked car into neutral and pushing it into something... or onto a trailer. From what I've heard, a lot of people removed the rod on manual transmission cars as they found it annoying.
Personally, I kind of like the idea that it is locked in reverse and therefore more difficult to move or rolling clutch start.