Read somewhere that dry bricks suck moisture from the mortar too quickly. That can cause weak joints and cracks over time (which is a real pain to fix later). Soaking them first just makes everything hold together better.
Found out about this when I was building a small wall in my backyard. Totally agree with @betty_patel on the moisture thing. I made the mistake of using dry bricks once, and the mortar cracked within a month. Next time, I soaked them for a few hours before starting, and the difference was huge. The joints stayed solid, and no cracks appeared even after a harsh winter. How long do you usually soak your bricks for?
Check what kind of brick you're using first, because some types only need a quick rinse instead of a long soak. I mean, soaking the wrong ones too long can actually mess up the mortar bond.