Cowboys and Revolvers

See the ratchet teeth in the lower left? They produce the four famous clicks (C-O-L-T) you hear when you thumb it back.

The first click puts the top of the trigger into the safety notch on the hammer. The second click means you've put it on half-cock, with the bolt disengaged from the cylinder, so you can rotate the cylinder for unloading/loading. The third click has you in the position with the bolt engaging (but not dropped into a slot of) the cylinder. The fourth click (1) drops the bolt, locking the cylinder in place and (2) fully cocks the hammer.

You could load all six and trust that safety notch. It's a pretty good chunk of steel, even with 19th century metallurgy. And that would be fine in normal circumstances. Even if the safety notch were to fail, the hammer's not far enough off the primer to make it likely the thing would fire. (Nota bene: “unlikely” isn't the same as “impossible").

But if you dropped it from a height (say you're 16 hands off the ground) or a sharp rap knocked it off, it's just possible for the thing to fire. And since you aren't giving up much by lowering the hammer on an empty chamber, people thought it prudent as an extra precaution. Necessary? Not really, but a sensible extra layer of safety.