You do not say, what kind of chromatography you want to perform, but I assume it is gel filtration / size-exclusion chromatography.
In most chromatography methods you are limited in the mass amount of sample to load. In gel filtration, the main limitation is the volume one can apply. To perform gel filtration and obtain a good resolution, the sample should optimally not have a volume larger than 3% of the column volume; 1% to 2% are required to obtain ideal resolution. Therefore, the sample is concentrated to reduce the volume applied.
If my guess was wrong and you perform a different type of chromatography, let us know.
as Achim wrote it depends from the purification tecniques that you would like to apply.
For affinity chromatography as IMAC or ionic exchange protein preconcentration is not needed. You can do it in case you have large volumes (eg surnatants from mammalian cells) and would like to speed up the sample loading step but it is not strictly necessary,
On the contrary if you performing SEC chtomatography or desalting the sample volume is critica and affect the final resolution therefore sample concentration is required before load it into the coloumn.
To follow up on Manuele Martinelli , if you are just desalting your sample or want to change buffers, you can load up to 30% of the column volume, but you have to make sure to use the right resin. Your protein has to be in the exclusion volume, it has to elute at the very front of the chromatogram.