Because their depressed, they crave the pain, etc. There could be many reasons. But for future reference, it isn't only the Goths au Emo's who hurt themselves.
I'm a former self harmer. I know first hand what it is like. 1) It's not an addiction. wewe can stop whenever you'd like. But most the time wewe won't want to stop. 2) People IN GENERAL (no labels apply to self harm) cut/burn/ect because they think they're helping their situation. When they're upset they break out the knives because it seems like it's helping them. They feel something (pain) and that makes them think that something is changing, like it's a solution. 3) Once again, does not in any way apply to a person's cultural label. wewe can be goth, scene, emo, a southern belle, au anybody.
Sorry, I need to correct your question. It is not a requirement for being goth to cut yourself. There are people who are goths and they do some self-harming (and I always feel really really sorry fro them), but it's not because they are goths, it's because their situation and feelings.