Should I leave the drain open on my compressor for storage?
Leave the valve closed during storage to prevent moisture, dust, and insects from entering the tank (as @Scivitri wisely mentions in his comment).

Even though any additional moisture could be drained form the tank later, it's more difficult to get the dust and insects out. And they're what's likely to clog up any attachments. They'd also potentially clog the drain valve itself and essentially cause a slow leak until they were removed.