For guys I think it must be a macho thing. You don't want to appear to be a beginner and unable to keep up with the big dogs. Trying to push too much weight can actually be dangerous and is usually unproductive. You don't want to find yourself having to drop a heavy weight or find yourself under a weight you can't lift (always have a spotter for weight lifting where you could become trapped, such as bench presses).
Start out using weights that are appropriate to your strength. You want to be challenged but not over-challenged. If you can do 3 sets of eight to ten repetitions without straining, the weight may be too light. You want your last repetitions of each set to be challenging. Start small, find your limitations and then gradually work your way up. At 2 to 3 workouts per week, your strength will grow quickly.
