To enhance the structural integrity of the cracker. The tiny holes allow air to pass through it as someone is biting down into the cracker. This allows for a clean break so that the cracker doesn't completely disintegrate in your hand as you're biting into it. If the cracker was solid (no holes), as soon as you bit down into it, it would completely crumble because the stresses are transferred throughout the cracker and not dissipated by the holes.
That's the bullshit answer that you might believe just because I made it sound all nice and technical.
The REAL reason crackers have holes in them is so that they bake properly. The holes allow steam to escape and prevent the dough from rising, thus keeping the cracker flat and maintaning its shape.