They do it to entice people to buy a product. This is one of the oldest used, "mind game" selling strategies. All stores do it because it leads people to think they are getting a great deal. When people think they are getting a great deal, they are more likely to buy a product. Using MSRP is a safe method, because it is a number the OEM provides. There is nothing illegal about it.
Retailers also aren't going to track prices of other retailers, and they are never going to tell you someone else is selling it cheaper. Some stores will sell products at a loss, to get you in the door to purchase other products, with a much larger profit margin. Also large stores like Walmart, Amazon, Best Buy, etc have the best pricing possible. They are buying the largest quantities, and receiving the best pricing from the manufacturer. They can undercut a lot of smaller stores and still make a profit.
We save money here a good portion of the time. You still need to check your price here against other large retailers. Massdrop is trying to get us the best price, but they are a company that needs to make money on each transaction.