Deleting Email Account Deletes Messages?

I have a POP email account in Apple Mail that is inactive, because I am no longer using the ISP associated with that email account. The Inbox, Sent mailbox, and Trash mailbox for that account still show up on the left side of the Apple Mail window. I would like to get rid of these mailboxes If I try to delete the email account, I get the following warning message:

Why should deleting the email account cause all messages to be deleted from my computer?

Also, I found that I can actually manually delete the Sent and Trash mailboxes for the inactive email account, but I can't delete the Inbox.