We are taught to treat all as our family. If we start differentiating between our immediate family and the world then we are doing the opposite of what the Guru's did. Rakhri enforces the idea that this is my family but you are an outsider.
Reference:: Sikh Philosophy Network http://www.sikhphilosophy.net/sikh-sikhi-sikhism/31976-today-is-raksha-bandhan.html

Having said that, it can come in useful socially. I started tying a rakhi on my gujrati friend at university and so our friendship was looked on very favourably by others and I was well looked after during his wedding by his family!