Filament expands as it gets hot. Cooling the filament will make it shrink, so cooling the filament deposited on the bed can lead to adhesion problems and warping of your products. This is exactly the reason why you use a heated bed (the delta temperature is smaller). So keep the cooling off for the first layers and you'll be fine.

Additionally (having answered the question for not using cooling air for the first layer), I would like to add that sometimes you won't need any cooling at all (for other layers), or very little cooling.

Please do note that some filaments do not like to be cooled down too fast; this may lead to weaker layer bonding or other issues. E.g. POM filament will harden very quickly when cooled causing the nozzle to bump on the quickly hardened filament knocking the product over. Also I found that too much cooling air when using PETG leads to "string-cheese" products caused by insufficient layer bonding. ABS is reported to be even more sensitive for cooling (shrinkage during cooling is higher than of PLA or PETG filaments); a frequent advice is not to use filament cooling when using ABS filament.