Because you've created an Exchange account (as opposed to POP or IMAP). Your messages are stored on the server. If you exceed the quote of the server, you must delete messages. The way it is supposed to work is that your mailbox on the server and in Mail are synchronized. This means, an e-mail is deleted from the server, if and only if you delete it in Mail.
First of all check how much space your messages take on the server: activate the main window by clicking in it and either press Apple + I or select Information from the cogwheel menu which is located on the lower left (below your mail boxes). It should tell you how much memory your messages take.
If you still want to keep older messages, you can create one rule which makes a copy of each message in another folder and another one which deletes Mails older than -- say -- 2 weeks from your Inbox. You will still retain a copy in an extra folder.
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