Just like a car, you don't "have" to.
1. Make sure you don't have a paint compatibility issue - don't put lacquer over an enamel.
2. If you change the frame's color, any chips and wear wil be multi-colored, and this includes your drop outs, seat binder bolt, water cage bolts, as well as road scars.
And you will have more paint thickness:
3. If you have a lugged frame you will notice the lugs/tube interface fills in a bit.
4. Your clamp on bits, if you have any, may fit just a little differently.
All that being said, I've done it (same color) and am happy with the results.