Your computer's registry is essentially where important bits of info that allow programs to function on your machine are kept. They are instructions and what not that are specific to your hardware.
Viruses and malware like hitting your registry so that they can get a footprint in the "software brain" of your computron.
That's about as simple as I can put it. You need them for your machine to function. Most likely when your malware scanner or virus scanner deletes registry files, it's typically because they aren't associated with any known installed programs or applications on your machine. That could mean they were malicious entries, or it could mean they were remnants of an old configuration, a corrupted install, or previously uninstalled software.
In more recent versions of windows, the registry is typically protected from alteration without permission, which often results in changes being made during an install that aren't being made during an uninstall, so if you're the type who removes programs a lot, you may have a ton of broken links in your registry.
As the ancient Tibetan philosophy states:"Don't start none... won't be none...".