There are a couple reasons why you shouldn't hold your breath. First off, holding your breath trying to conserve air could lead to passing out. Slow breathing also helps you relax. Also if you hold your breath at depth and head to the surface, the air in your lungs can expand causing an over expansion of your lungs. A very serious and sometimes life threatening injury.
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It is not safe to hold your breath while surfacing from Scuba diving because of the change of atmospheric pressure as your depth shallows. Holding your breath could cause severe damage to your body and could be fatal. Atmospheric pressure increases the deeper underwater you go, compressing the air in your system. So, as you surface - that air will expand. Decompression stops are part of safe scuba diving practices. This allows the air within the lungs and body to slowly expand and readjust to the decreasing pressure from a dive. Even in the event of an emergency ascent, a diver should not hold their breath but slowly exhale as they surface - exhausting all the air in their lungs by the time they surface.
Should the diver surface from depth without exhaling, the air in the lungs will expand and can cause sever damage to the point of a lung (or both lungs) rupturing.