Why do Nigerian scammers say they're from Nigeria?

Why do Nigerian scammers say they're from Nigeria?  The Nigerian email scams are notorious – the butt of jokes, and everyone knows about them.  So you'd think it would behoove the scammers to stop telling people that they're from Nigeria, wouldn't you?  Au contraire, say researchers at Microsoft: the scammers carefully and intentionally tell you they're from Nigeria.  Why?  Because then they know that any responses they do get are from the tiny percentage of the population that doesn't know about the Nigerian scams...