So you have outlaid money for those things you are depreciating, albeit borrowed money (which you're paying interest on). And there is an expectation that eventually you will need to outlay money again to replace them when they're worn out (even the buildings if they get bad enough). The depreciation is to compensate you for those items losing value through wear and tear.
So to get the depreciation to reduce your tax, you have had to spend money on items that lose value over time.
Don't get me wrong though, I'm not say this is necessarily a bad thing. Obviously with Sunfish's example of plant and equipment for a business, the equipment's needed to carry out the business. Similiarly, when you buy the property, it normally comes with a building and fittings, otherwise you wouldn't be able to rent it out (or not so easily). But the point is, you're not getting a tax deduction for nothing. It's for money you've spent that you're effectively losing value on as the items purchased wear out. Whether that money was spent as part of the original property purchase or separately later is irrelevant.
So once again it comes back to risk. You are spending money on costs now (property holding costs, including interest) that there is some risk of not recovering in the future. Anyone intending to follow this course of action needs to be aware of those risks, as despite what some people might think, it's not a sure thing (all reward carries some risk).
GP