Because when you die from falling off a cliff or something, you can use the balloon to fly back to the beginning of the level, or if you die from getting hit, you can use the helium inside the balloon as a temporary painkiller, which lasts long enough to get you back to the start of the level.
Why are balloons floating around almost everywhere you go?
In Up, Russel accidentally throws his Wilderness Explorer GPS out the window. It landed on DK Isle, where the Kongs picked it up. This is why DK and Diddy seemed to always know where to travel.
In what other mysterious way is DKC related to any other of the Pixar movies?
If you were stuck in a room with Justin Bieber, the Jonas Brothers, and Miley Cyrus, only armed with your bare hands, who would you kill first (and suicide ISN'T an option)?