Because it makes them feel good or funny?
The Sami (the ingenious people of Lapland) apparently used to feed Amanita muscaria -mushrooms to reindeer and then collect and drink their pee, because reindeer metabolizes the more poisonous components, leaving the “good stuff” in their pee. This is believed to have affected the image of flying reindeer in the myth of Father Christmas; the Sami people were high and thought the reindeer were flying through the air.
Source: http://h2g2.com/edited_entry/A6084218
The Santa Claus part is all a theory, of course. But it is known for sure that reindeer eat Amanita mushrooms. Why? Well, why not.
