Answer: To keep the Justices away from lobbyists that could influence their behaviour.
The Supreme Court did not have a building of its own until 1935, after it had already been in existence for 146 years. Initially, the Court was located in the Merchants Exchange Building in New York City. In 1790, it moved to Philadelphia, and in 1800 to Washington D. C.
It was not until 1929 that Chief Justice William Howard Taft persuaded Congress to authorize the construction of a permanent building for the Court. The construction was completed in 1935.