This is done to let the cheesecake cool slowly. It prevents the cheesecake from a major temperature change, which can cause the cake to crack or drop in the center. At the end of the cooking process, when turning off the oven, leave the oven door open a crack to let it cool down slowly. I usually leave mine in there for about an hour before I take it out and put it on a wire rack. Then, after it has cooled on the rack for several hours, I place it in the fridge to chill overnight.