We have a right to know that because... (okay, I give up)?
Politically, knowing who donates to what is useful information. And, I guess I could make the argument that donors get to deduct donations from their taxes, and therefore that does make it of public concern.
Non-profits proliferate--I am acquainted with some who formed their own bogus charities in order to provide themselves with certain perks with a tax-discounted bill. All legal, I guess. Why NOT know about it?