They have to cover themselves against money laundering, the laws are as/more strict than banks have to follow. Von's post about the guy in front of him having to do paperwork when cashing in a stack of $5000 chips probably had something to do with markers against his chips.

When I cashed in 4 $1000 jetons at the Paris, the cashier wanted my players card, and she asked me if I had any markers. She did go behind a wall (I assume to run my players card to see if I played at a level high enough to have them, and to check for markers) before she gave me the cash.