No reason is ever given.
The fact is that the "V.R." is taken from a description by Dr. Watson of Holmes' mannerisms from The Musgrave Ritual by A. Conan Doyle
I have always held, too, that pistol practice should be distinctly an open-air pastime; and when Holmes, in one of his queer humors, would sit in an arm-chair with his hair-trigger and a hundred Boxer cartridges, and proceed to adorn the opposite wall with a patriotic V.R. done in bullet-pocks, I felt strongly that neither the atmosphere nor the appearance of our room was improved by it.
Basically, Holmes did it because he felt like it.
The filmmakers merely added it as canon set dressing