Why are the walls of the bronchioles folded?
Those foldings are called as mucosal folds, formed by the contraction of smooth muscles , are also present in trachea, and in many other organs such as gallbladder etc.

Physiologically: This folding causes an increase in area for better action of mucus which protects the body from entry of dirt, pathogens and loosing the moisture.

Anaomically: as @Bryan pointed out that the folding permits the  contraction and relaxation of smooth muscles around the bronchioles.

Source 1

Source 2