One of the missions NASA is planning is to redirect a small asteroid to lunar orbit and land astronauts on it.
If it can redirect asteroids, why not just send it to LEO and send a Dragon to it?
The reason is that a lunar orbit (specifically, a distant retrograde orbit or DRO) is much more stable compared to a low Earth orbit so you can leave it there for a long time and study it in the future. You also don't have to worry about it decaying and colliding with the Earth -- although the size of the target asteroid (actually only a piece of an asteroid) probably makes it nothing to worry about.
See this project for a decent description of DRO's and how they relate to NASA's asteroid redirect mission.