I'm not sure this is universally true. When I've visited Scotch distilleries, the person leading the tasting would suggest you first try it neat, then with a few drops of water. Particularly when drinking cask-strength whisky (50%+) it is typical to add some water to mellow it a bit.
On the rocks is somewhat different, as it will dilute the whisky progressively as it melts, until it's lost most of its flavor. Chilling the whisky also reduces our ability to taste it, as our tongue is less sensitive when cold.
(If you're interested in the science of how dilution and temperature affect our experience of drinks, I highly recommend Dave Arnold's book Liquid Intelligence).