I don't fully understand the helicopter pilots' preference for flying low either, but I believe these are the reasons:
1) Fun/cool/it's what the machines do well
2) Staying away from fixed wing traffic
3) Less distance to fall if something goes catastrophically wrong (tail rotor failure, blade delamination, fire, tail boom comes off, etc etc, not just an engine failure-autoration)
4) Glide distance at a few thousand AGL in auto rotation is not great anyway, so you're not giving yourself too many more landing site options at higher altitude
5) Less time in auto-rotation means less chance of the blade stall while you come down? A momentary lapse of attention to RPM in an auto rotation might be more likely if it takes several minutes
6) in Robinsons anyway, you don't lean the fuel mixture in flight so I guess the fuel consumption advantage is not there as in a fixed wing where mixtures are leaned at high altitudes