A typical tea bag has tiny little fragments of tea leaves inside, and broken up tea leaves will get stale almost immediately due to all that surface area. Whole leaves are more flavourful, and aren't as likely to be stale (though even loose tea will get stale if old enough).
Also, you want your hot water to circulate around your tea to get the most out of the leaves. A little tea bag doesn't really allow for that.
For more information on the differences between loose tea and tea bags, you can read my complete article.