The short version: because your car will have a higher luminous efficacy. Now for the long version: First of all, we should state that not all HID (High Intensity Discharge) headlamps are using Xenon as the weapon of choice. Some use Mercury vapors, other metal halide, ceramic metal halide and others use Sodium vapor. Secondly, all automobile applications of HID lamps use Xenon, but not all of them use this gas for the whole functioning time. Now let's see how they actually work. Even though a common name for most HID lights is HID Xenon Light, most of them are actually metal halide lamps that contain Xenon gas, which is only used to allow the lamp to produce a minimal amount of light immediately after power-up, in order to accelerate the (much longer) run-up time of the lamp. The distinctive blueish color separates HID headlamps from the regular lamps with tungsten filaments.

https://www.xianlon-hid.com/hid-xenon-light/