It is hard to justify why things are the way they are a posteriori. The best we can do is offer up guesses.
That being said, there are a few reasons why calcium ions should be trapped inside compartments as opposed to out of them. First, some background.
The reason why calcium ions are trapped in different concentrations at all is to generate a gradient of energy that can be harvested by the cell for use. The gradient created in this case is a gradient of charge. A lot of different ions are used in different parts of the body, but usually they are ions because they are small and easier to manage. Examples would be the hydrogen gradient or pH gradient found in Mitochondria and Chloroplasts.
How do we create charge the fastest? We use more highly charged ions. For cells that have high energy demands, multiple charged ions create a gradient faster per unit pumped. However, we also have to consider the design of the system. It takes a lot more calcium to build up a high concentration of calcium (or whatever charge carrier we want to use) in the cytoplasm than the little organelle because there is more cytoplasm as measured by volume. It would also wreak havoc on secondary messengers and a variety of other things, but from a purely energetic standpoint it makes no sense to keep so much calcium in the cytoplasm when the same gradient can be established with much less calcium by keeping it on the inside of the organelle. Hence things tend to pump in rather than out.
Of course, we are only justifying after the fact. There is no way we can ever really know why things are the way they are. We can just justify why they are the way they are.