Lewis backs modal realism for a variety of reasons. First, there doesn't seem to be a reason not to. Many abstract mathematical entities are held to exist simply because they are useful. For example, sets are useful, abstract mathematical constructs that were only conceived in the 19th century. Sets are now considered to be objects in their own right, and while this is a philosophically unintuitive idea, its usefulness in understanding the workings of mathematics makes belief in it worthwhile. The same should go for possible worlds. Since these constructs have helped us make sense of key philosophical concepts in epistemology, metaphysics, philosophy of mind, etc., their existence should be accepted on pragmatic grounds.