There are cases where it's wise to do so. For just one example, when you're hoping to close the door on the investigation before it turns up even worse stuff (although I don't think that's Limbaugh's case).
Another is when you're concerned that even being charged with (insert heinous crime here) would do your public reputation damage even if you later beat the rap -- better to head it off at the pass and get an early plea-bargain. I suspect that's the case here, Limbaugh has his conservative reputation at stake, and getting charged with, for example, "Felony Possession with Intent to Distribute" is something that's likely to follow him the rest of his life, no matter how it eventually pans out.
Or maybe he just wants to keep his liberal enemies from being able to endlessly publish any mug shots of him.