Many communities around the world put their water supply through a process called chlorination. The purpose of chlorination is to disinfect the water, ridding it of harmful bacteria, viruses and parasites. Small amounts of chlorine or chloramine are added to the drinking water at a treatment facility, which is then distributed on to you, the consumer.
While the intention is good, problems can arise when too much chlorine is added to your water, as well as chemical by-products that can be created when chlorine reacts with any organic matter.
Specifically, the US CDC asserts that chlorine levels up to 4mg/litre of water are safe, such that negative health effects are unlikely to occur. However, although the EPA regulates this standard in the US, there is no guarantee that all countries in the world follow the same standards. Too little chlorine might mean not enough protection from viruses and bacteria, while too much might lead to more harm than good.
In addition, recent studies have pointed out that chlorine can chemically react with otherwise harmless organic matter in drinking water (eg. decaying plants) to form harmful chlorine by-products. In high enough concentrations, these by-products have been linked to increased risk of developing certain cancers.
The EPA sets maximal concentration levels for these by-products in the US, but why take the risk if you can filter them out? And again, standards in different places may not be as stringent.