Why not? Here is the thinking:
- Gives you a chance to get back in the game.
- Chance to practice the 6 skater play
- Some teams play with more desperation when they have an empty net and this is a chance to see if your team is that team if you are a coach
I've seen D1 men's teams start pulling the goalie at the start of the third period when they were deep in a hole (Princeton vs Harvard a ways back comes to mind - Princeton closed a 6 or 7 goal gap to 3 or 4 over the period). As a coach, if I felt my team was dogging it against an inferior team I occasionally pulled the goalie in the middle of the first period to wake them up (fear can inspire) - it almost always worked. And I coached a few (3 or 4) games where we were down 3 or 4 goals, started pulling the goalie early in the 3rd period every time we got the puck deep at the other end, and tied or won the game.
In the end, who cares if you lose 3-0 or 5-0? Only if goals against or goal differential matters is it really meaningful.