Most of the time it's never addressed and it largely depends on continuity.
According to the Voltron Wiki, (in the Japanese series)
Golion was once a unified robot that only sought to do battle. It one day decided to challenge a mighty space goddess. The space goddess asked why Golion could not use its abilities for good, and split it into five parts to teach it humility. Golion landed on Planet Altea and became the guardian deity of its people.
Since the original (American) Voltron: Defender of the Universe is an import of Beast King Golion and Voltron: The Third Dimension and Voltron Force are sequels that follow the same continuity, we can assume the reasoning is similar.
In Legendary Defender, it seems like a complete reboot so the Golion tweaking off a goddess story may or may not still be true. There are, however, other options available.
One massive robot is a lot easier to find and target from space than five smaller robots.
Power consumption could be an issue. I know it was mentioned a couple of times in Voltron Force although I think it was while forming or changing configurations. Keeping the giant formed might waste resources (during a war).
Voltron can beat any monster one on one but a fleet could overwhelm it or break through and destroy whatever it's protecting. Five lions can take on more ships and offer more protection than one sword wielding target.
The shows aren't about a robot beating monsters anymore than any of the Power Rangers series were or Captain Planet was about a blue guy stopping pollution. it's about the team and how they work together. One robot = one pilot (Big O, Gundam etc.). 5 robots = a team.
The pilots can split up and run individual missions. Plots can be a lot more interesting than monster attacks, Voltron chops it in half.
The formation sequence is a time waster. Writers have to come up with new ideas starting with monster attacks and ending with Voltron kills it. Having a couple of minutes already written for literally every episode has to be helpful. Same goes for forming the megazord on Power Rangers and summoning Captain Planet.