What are some of those reasons? If you don't mind me asking...
Well first off, if it's during a time when I am supposed to be at my own church, as a leader in that church, I need to account for my absence. Second, my pastor is the one who coordinates my learning and advancement when it comes to ministry (I am licensed through his office, and he is responsible for training me to accurately represent the organization and its standards): I would want him to know I'm receiving other instruction in an official capacity, because he might need to know what type of instruction that is. It may be a credit to me as far as my advancement, but he may also want to advise me on something being taught at that church that conflicts with what we believe, so I can be aware of it. Third, he may not feel that it's a good idea at all for me to go, and may want to discuss it with me further before I make that move. Fourth, someone may come to him in reference to my attending that bible study, and I think he would feel better if he already knew about it, than if someone tried to blindside him by putting some kind of shady spin on it (that just helps to avoid crazy rumors and mess).
I can think of a host of other reasons... he may want me to take notes and bring back ideas from their bible study that may benefit ours. He may want to know what it is about our bible study that is lacking or insufficient.