In short- 'You are helping a thief rob a bank'
Explanation -
You are basically making all the keys possible to open a lock, which the thief would use one by one until it opens.
The history (Read if you have time, otherwise those two lines were enough)
Scenario 1 (No captcha)
We didn't see a lot of captcha's 5 years ago. How come suddenly there are so many captchas around?
Its because hackers(a.k.a thief,just because they rob using a computer doesn't make them Tom Cruise) want all the money in someone's account, or at other times just want to mess things up.
So, to extract a password, you must try all possible combinations, earlier it was easy, just send simple codes via PC while you are watching the movie "Philadelphia"(Amazing movie, recommended), until you find the codes. Once you do, Volla! Take all the money, enjoy.
Ethical hackers(explained in P.S.), found out about this and fixed it by confirming that the person sitting on the computer is actually human and not a P.C. By asking for something that a computer can do only a.k.a Captcha challenge.
Scenario 2
With the use of OCR (Image->Text), and more development of it, Hackers now can use the OCR software and still just as before, send simple codes via PC while you watch "The Shawshank Redemption"(Amazing movie, recommended).
P.S.- Although I am a big fan of "ethical hackers", they are like a Double Agent but working for the good. Being human, we make mistakes and sometimes mistakes we are not aware of our mistakes. Ethical hackers find those mistakes and fix them, before the bad guys can find out about it and use it for their dirty work.
P.P.S.- Hackers aren't bad either, they are basically of two types:-
1) Greeedy - Want all the money to buy all the things, so that they feel happy. Problem? Money doesn't make you happy, but the feeling that you create when you have money. More details in some other post.
2) Joker - Just want to disturb everything. These people are the best, I like them. Since they don't find a kick in doing a job, or running a business they do things which give them that kick, i.e. Making use of loopholes to create problems.
These guys will do only one thing- "Do something that others can't"
So they break code,they laugh their asses off to these 9-5 people who think their C.V makes them great.
Solution - Show these people the problems which humanity has been trying to fix for generations and which no one has been able to by now, they will automatically drift towards it.
So them, for example, that people are daily robbed by Unknown callers who scare people and ask for their ATM's PIN & buy a new Xbox,unaware of the fact that, that little $349 might be their only lifetime saving.
These guys are Jokers, but once they determine to fix real problems,instead of creating them, they become Batman.