You need to run this command with root privileges. Try:
> sudo purge
WARNING: Improper use of the sudo command could lead to data loss
or the deletion of important system files. Please double-check your
typing when using sudo. Type "man sudo" for more information.
To proceed, enter your password, or type Ctrl-C to abort.
Password:
Enter your account's password and it should run the purge command.
Apple probably made the decision for security purposes. The only disadvantage is you have to type in your admin password. The advantage is, for non-admin users, they can not run this command and potentially harm their OS.
Usually commands that require sudo in order to run at all are potentially destructive or invasive. Two other commands with this requirement are dtrace and xcode-select.