Why are bump functions compactly supported? Smooth and compactly supported functions are called bump functions. They play an important role in mathematics and physics.
In $\mathbb{R}^n$ and $\mathbb{C}^n$, a set is compact if and only if it is closed and bounded.
It is clear why we like to work with functions that have a bounded support. But what is the advantage of working with functions that have a support that is also closed? Why do we often work with compactly supported functions, and not just functions with bounded support?

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*On spaces such as open intervals and (more generally) domains in $\mathbb R^n$, compactness of support tells us much more than its boundedness. Any function $f\colon (0,1)\to\mathbb R$ has bounded support, since the space $(0,1)$ itself is bounded. But if the support is compact, that means that $f$ vanishes near $0$ and near $1$. (Generally, near the boundary of the domain).  

*On the other hand, when bump functions are considered on infinite-dimensional spaces (which does not happen nearly as often), the support is assumed bounded, not compact. A compact subset of an infinite-dimensional Banach space has empty interior, and so cannot support a nonzero continuous function. If you are interested in this subject (which is a subset of the geometry of Banach spaces), see Smooth Bump Functions and the Geometry of Banach Spaces: A Brief Survey by R. Fry and S. McManus, Expo. Math. 20 (2002): 143-183  
