The primary purpose of a ping request is to identify hosts that are currently active. As such, it is often used as part of reconnaissance activity preceding a larger, more coordinated attack. By removing a remote user's ability to receive a response from a ping request, you are more likely to be passed over by unattended scans or from "script kiddies," who generally will look for an easier target.
Note that this does not actually protect you from an attack, but will make you far less likely to become a target.
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