Nityaananda! Gauraanga! Hare Krishna! He accepted Sannyaasa in this material world for two reasons:
(1) The external reason is that anyone in this material world who would offer Him respects considering Him as a sannyaasi would also be delivered. Also His teachings about Bhakti would be taken even more seriously by the next generations in this material world as Sannyaasi by nature is a teacher.
(2) The internal rasika reason is that a sannyaasi means beggar, bhikshu. Lord Krishna became a bhikshu to beg for the experience of the topmost love of Shrimati Radha.
(3) A sannyaasi can easily hide his ecstatic devotional moods as he stays alone whereas as a householder it is a little difficult. Since in this material world, not everyone is a siddha (there are many conditioned souls), Lord Gaura wanted to deeply hide His ecstatic emotions in Raadha Bhava (since everyone was not qualified to see or understand them) which is why He chose the innermost room Gambhiraa in Puri Dhaama as a sannyasi. The more one hides the ecstasies, the more they blossom in the heart. Thus, He assumed the form of a sannyasi so that He could deeply relish in the core of His heart, the divine moods of separation with great confidentiality.
(4) Lord Gaura wanted to personally exhibit His sixth divine quality (opulence) of vairagya or renunciation which He had not so explicity displayed in His previous pastimes of Lord Krishna (svayam avataari). This sixth opulence makes Bhagavaana perfect and complete. He is the proprietor of everything but still He remains detached from it 
Daaso'smi, Swami Gaurangapada.
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