When you receive mail in your mailbox, the vast majority of the mail is probably not super sensitive. However, some mail is. The most sensitive kind of mail includes things like credit card offers, packages of checks, prescriptions, etc.
In todays world, the credit card companies will send you dozens of unsolicited credit card offers every week. It is an easy thing for a criminal to take the mail out of an unlocked mailbox and see these unsolicited credit card offers. They can change the address on them and then use them to open a credit card in your name!
Also, people are shopping more and more on the internet. Many of these things come to your mailbox. Having a locking mailbox is essential to keeping your identity secure.