Unless they are needed for an active order, I recommend keeping them in a safe wallet. Cold storage or Bitgo would be best.
Two good reasons:
1) They won't be stolen if you keep your private keys safe and unused.
2) Your BTC can be lent to others who sell them short. By keeping them on the exchange, you allow them to be sold short, possibly repeatedly. This will depress the price, hurting your investment. Get the coins off the exchange and they won't be used by the bears to drive price down. Get enough off the exchange and you will help squeeze the shorts, forcing them to buy.
They will also be bought back repeatedly, driving the price up. Shorting just moves the market more rapidly in the direction it's heading anyways, and adds volatility. When prices are rising because demand outweighs supply, the shorters get busted, and it doesn't matter how many coins are on the exchange because no one wants to borrow them.
I don't think I made this clear enough. On a properly run exchange, the Bitcoin you leave on the exchange is required to allow others to short. The short-sellers borrow your Bitcoins and sell them, either adding a sell order to the book or removing a buy order from it. This moves the market down. With enough Bitcoins, someone with lots of dollars can come in and short sell until they hit every single buy order on the book, then set up very low hidden sell orders that keep the price low forever. On an improperly run exchange, they don't bother borrowing Bitcoins to allow folks to short sell. They allow as much shorting as anyone wants, limited only by the margin dollars present in the shorters' accounts.
Can you think of any organization with access to infinite dollars that would have a vested interest in seeing the value of Bitcoin tank, and never recover?
The only way to keep exchanges in check is to keep the number of Bitcoins in exchange accounts very low. This will limit short sales on properly run exchanges, and expose improperly run exchanges to bankruptcy when they run out of Bitcoin for withdrawals.
