A retired statistician, who posts on sci.stat.consult and similar groups as "Reef Fish", provides this realistic commentary on statistical modeling:
"The simplest answer to WHY you keep statistically not-significant variables is that for many problems, while they are not statistically significant, they are much better than nothing. :-)
"If you drop variables because they are statistically NOT significant, they you may find, especially for sociological data, that often you may end up with NO VARIABLE in a regression equation because you have drop everything. :) "
(Smileys are in the original).