Copper gaskets installed dry don't stay sealed because the gaskets don't yield. The first couple times you heat cycle the engine the header bolts will want to back out and the moment that happens the gasket is no longer tight against the head.

Copper gaskets with a thin smear of Permatex high temp copper rtv seal great, and you can reuse them over as many times as you like just by cleaning the rtv off with a wire brush and reapplying a fresh coat.