Is there a reason not to connect the ground wire to a chandelier?
The only reason not to connect the ground wire would be because there is nowhere to connect it.  

Older houses have 14/2 without a ground, particularly to ceiling boxes.  The box itself may not be grounded.  In this case, it would be better NOT to connect it to the box, as a signal to the next person working in there, "Warning! This is not grounded!"   

But, it there is a green or bare copper wire in there, then by all means hook it up.