Spam is junk e-mail, messages sent out to every mailbox known to the spammer. It's the sort of offers found in the classified section of second-tier magazines. Much of this unsolicited dreck has, at the very end, a sentence or two apologizing for disturbing you. It also invites recipients to click on a link or send an e-mail to be taken off the list. In fact, the quickest way to get lots more spam is to follow those instructions.
People hate spam.
Most of us delete this stuff without ever opening it. By taking the spammers up on the offer to remove you from the list, you are instead moving yourself way up on the list of the spammer's e-mail addresses. Your note asking for removal demonstrates not only that you opened the mail, but that you read it all the way to the end and responded. The spam industry is built on selling other spammers lists of responsive marks, in part because so many people have simply abandoned e-mail addresses that were overflowing with spam. Because so many of the spam messages go to mailboxes that are never used, an address that the spam industry knows has a live human being behind it is quite valuable.