Decreased job security: In today's world, the concept of job security is passé. A lot of people consider themselves lucky to just have a job and so not want to look for another one. But, are you sure that you will definitely have your job tomorrow? What will happen if your boss decides he wants to downsize and lays you off tomorrow? Are you prepared for such a scenario? Although it sounds harsh, it happens! People generally don't know that they are going to get laid off when they go to work in the morning. So, be prepared and have some options ready just in case the worst happens. No point going out to dig a well when you are dying of thirst.
Preference for employed candidates: Believe it or not but hiring managers have a thing for employed candidates. They believe that if the candidate has managed to hold on to his job during these troubled times, he must be good at his job. Hence, they prefer to extend offers to people who already have a job than to people who are unemployed. In fact, a lot of recruiters head hunt the perfect candidates, so keep your resume current and at least consider the offers that come your way instead of rejecting them straight off just because you already have a job.
Right to reject an offer: You do not have to accept every job offer that comes your way. If you do not like what's on the table, you have every right to reject the offer. And, don't worry about the consequences. Recruiters almost never discuss a candidate's rejection of their offer as it reflects poorly on them. So, go ahead and attend those interview calls. Evaluate the job offers that come your way carefully, and if the job is not right, feel free to turn it down. You really don't have much to lose here. For all you know, your dream job may just be hidden in these offers, and all you need to do to get it is keep your eyes and mind open and cut through the clutter.
So, don't hesitate to interview for a job even if you have a job on hand. You have absolutely nothing to lose. Knowing what's out there in the job market will be a good idea in case things take a turn for the worst at your current job.