letting it in

In some recent classes, I find myself coaching people to "Let it in" "Be affected". I'm curious about this, because when did we stop letting it in and being affected? Did we get wounded or shut down too many times? Why are we so afraid to be vulnerable and be affected? Improv is all about being affected and then moving forward from that spot, being more of who you are at that moment. What's the worst that could happen? Isn't that "worst" far better than the effect on our life of not ever being affected, not ever caring?