You mean like a Social Security card? True, you don't have to always have it on you, but it is mandatory for all legal citizens to have one.
Obviously this is connected to what they're doing in AZ; but the simple fact is that carrying a form of ID on you at all times *just makes sense*. In an emergency where you become seriously injured, a proper ID means that you will get faster, more accurate, care because the hospital doesn't have to treat you like a Doe. If they know who you are, they can track down your medical records and, more importantly, your medical history. Trust me, you don't ever want to go into an ER labeled "John/Jane Doe". It also means your family can be contacted ASAP.