When we last saw our hero ("our hero" meaning Romeo) he had just discovered that the young woman he fell madly in love with at the Capulet's party was, in fact, Juliet Capulet, daughter to his father's arch-nemesis, Lord Capulet. So naturally he decides to engage in some casual late-night breaking and entering.
Also, the real tragedy of Mercutio's short life is that he died centuries before the advent of the "that's what she said" joke. He would really have enjoyed that.