The question is asked mostly to protect you from phishing attacks. The website may fake an Operating system, and ask you to enter sensitive information like passwords. To quote the spec:
User agents should ensure, e.g. by means of an overlay, that the end
user is aware something is displayed fullscreen. User agents should
provide a means of exiting fullscreen that always works and advertise
this to the user. This is to prevent a site from spoofing the end user
by recreating the user agent or even operating system environment when
There is also a very good discussion of this issue from Feross Aboukhadijeh, who also describes the security risks of allowing keyboard input.