Three reasons.
One: In today's world of DNA testing, it's almost impossible to spend time in a room without leaving your DNA behind, even if it's just a hair from your head. By sealing the room in plastic, Dexter can easily clean up after himself, and bundle it all into his car to dispose of (with the body, in the ocean).
His father taught him how to avoid being captured, and since his father was a cop, he knew all about evidence.
Two: He doesn't want there to be any evidence that someone has been killed. His victims simply disappear. Since he dismembers people, there is naturally a lot of blood. The plastic catches all of this, and he can then easily dispose of it.
So, when he leaves one of his murder scenes, there's no sign that he has been there, no sign that his victim has been there, and no sign that a murder has been committed.
Three: Serial killers (at least on this show) like rituals, that they can repeat with each murder. The whole plastic killing room routine is a big part of Dexter's ritual. (Other aspects of his ritual include putting up photos of the victims, taking a blood slide sample from the killer's face, etc.)
