Sprinkler heads are not sealed closed when they are in the "off" position. So if your system is installed on a hill, when the water is turned off, the water left in the pipes will drain out through the lowest installed sprinkler head.
A check valve keeps the water from flowing backwards through the pipes, and there is even special check valves that can even hold upto about 10psi to keep water from flowing through it in either direction (until the forward pressure exceeds the 10psi). Basically, these check valves function to prevent the water remaining in the pipes from draining out of the system when the valve is off.