Definition: Cold break is when protein in boiled wort coagulates and falls out of solution. This happens during the rapid cooling from boiling to fermentation temperature.
The main reason is for beer clarity, it will help to prevent chill haze.
Here is an excerpt from John Palmer's How to Brew:
Rapid cooling also forms the Cold Break. This is composed of another group of proteins that need to be thermally shocked into precipitating out of the wort. Slow cooling will not affect them. Cold break, or rather the lack of it, is the cause of Chill Haze. When a beer is chilled for drinking, these proteins partially precipitate forming a haze. As the beer warms up, the proteins re-dissolve. Only by rapid chilling from near-boiling to room temperature will the Cold Break proteins permanently precipitate and not cause Chill Haze. Chill haze is usually regarded as a cosmetic problem. You cannot taste it. However, chill haze indicates that there is an appreciable level of cold-break-type protein in the beer, which has been linked to long-term stability problems. Hazy beer tends to become stale sooner than non-hazy beer. The following are a few preferred methods for cooling the wort.
As Palmer states "Long-Term" storage problems, which means you will more than likely be drinking your beer before you run into any issues froma poor cold break.