As the previous post says, ostensibly it was to sell bonds on Wall Street and escape the known and predictable land of the midwest.
In a larger sense, it was obviously so that the story could happen. The midwest was, as I said, predictable, honest, not intriguing. The creation of Jay Gatsby needed the midwest as a place where the idea was born, but he couldn't reach out to the world and attempt to squeeze into the world he wanted to be a part of in the midwest. So Nick had to move out east so that he could (and we by proxy could) meet Gatsby and tell the story.
It isn't all that different from our impression of the Midwest today. It is a place where things are bound by tradition, values, things move more slowly, etc. Though many of these are simply perceptions and impressions, again, the story couldn't have happened there in Fitzgerald's mind.