Copied and pasted from his wikipedia page, because I had no idea but your question made me curious:
“Lieberman has been officially listed in Senate records for the 110th and 111th Congresses as an “Independent Democrat”[2] and sits as part of the Senate Democratic Caucus. But since his speech at the 2008 Republican National Convention in which he endorsed John McCain for president, Lieberman no longer attends Democratic Caucus leadership strategy meetings or policy lunches.[3] On November 5, 2008, Lieberman met with Senate Majority Leader Harry Reid to discuss his future role with the Democratic Party. Ultimately, the Senate Democratic Caucus voted to allow Lieberman to keep chairmanship of the Senate Committee on Homeland Security and Governmental Affairs. Subsequently, Lieberman announced that he will continue to caucus with the Democrats.[4] Lieberman remains a registered Democrat (as of March 2009)[5] and continues to vote with the Democrats in the Senate most of the time (as of July 2008).[6]”
Sounds like the reason is stated right there. It sounds like he is an independent (a quote of his from later on his wiki page: “I agree more often than not with Democrats on domestic policy. I agree more often than not with Republicans on foreign and defense policy.”), but in the US government you really have to side with one party or the other to be influential. So he did.