URIs don't change: people change them.

There are no reasons at all in theory for people to change URIs, but millions of reasons in practice.

Very nice and snappy article about the reasons for the changes is available on cool URI:

http://www.w3.org/Provider/Style/URI

Explanation (source http://nb.vse.cz/~gala/4it383/pomucky/uri.htm):

URI - Uniform Resource Identifier. The generic set of all names/addresses that refer to any source.

URL - Uniform Resource Locator. The unofficial term (no longer used in technical specifications), which is associated with popular URI schemes such as http:, ftp:, mailto:, etc.

URN - Uniform Resource Name. It has two meanings:

1. it is a URI, which is institutionally defined duration, availability, etc.
2. is one of the URI scheme

For more information see  URIs, URLs, and URNs: Clarifications and Recommendations (http://www.w3.org/TR/uri-clarification/).