This answer will contain many spoilers if you haven't seen the entire show.
First you must understand who/what the smoke monster is.
The Man in Black was a centuries-old inhabitant of the Island. He was
once a normal man with dark hair and steely eyes, but an encounter
with the Heart of the Island, brought on by his brother Jacob, changed
him into a violent cloud of black smoke often referred to as the
Smoke Monster. In this form he could manifest as deceased
individuals, most frequently as his former body. Eventually, and
permanently after the death of Jacob, he took the form of John Locke.
The rest of the answer is really a huge part of the series mythology and has to do with Jacob and The Man in Black and what their purpose was on the island.
They were raised to believe that nothing existed across the sea and that everyone that came to the island was evil and that his destiny was to protect the "Heart of the Island".
The Heart of the Island, simply put, is the energy source that causes all the different disasters. It is the reason the plane crashed, it is the reason they were pushing the button, it caused all the time skips, etc etc etc. And it is what turns The Man in Black into the Smoke Monster.
The Man in Black learns that the woman he thought was his mother, is not his mother and that she has lied to him about the world. He becomes angry and murders his mother, after which Jacob murders him and takes him to the Heart of the Island and in grief tosses his body in, thus turning him into the Smoke Monster. His life force is subsequently tied to the Island's Source and therefore he can not leave the island unless the source is released. The release of this source must not be allowed however, or it would destroy the world.
For more in depth info on this you should read Lostpedia articles:
The Man in Black and The Heart of the Island