It's because it mourns the death of it's mom, which is first stated in yellow. Cubone keeps the skull of the mom on it's head for the skull is the only way to feel close to it's deceased mother, the nature of this is quite odd. Oddly enough this is contradicted in the games (silver/gold and so on). When you breed Cubone/Marowak, you don't lose the mother, hence only being true outside the game series (the Amine and Manga).
The Kangaskhan theory may be a more in depth explanation for this question, but like all theories, it is fan-based and holds no validity t'words the actual franchise.