Because it is a little red dot that you make move around in every directly very fast.

Dogs like to chase things just as much as cats do

They think it is a fun game.

One of my Poodles goes crazy for the laser, it is good exercise for him.
I think it's actually a test of intelligence... one of my Poodles is smart as a whip, she pays no attention to the laser and only snaps at it if I sneak up on her, she knows it's only a light. The less than brainy dog is the one who goes crazy for it, thinking he can actually catch it.

As long as it doesn't turn into an obsessive behavior (ie: constantly looking for the 'dot') it's absolutely fine.

Here's a videos of my (slightly brain dead) dog chasing the 'dot' and the smart one biting him for being an idiot:

YouTube - Brody and the dot part II - dots and evil black she-poodles (http://www.youtube.com/watch?v=AedOEpRvRdM&feature=related)