Suetonius reports the building of the Praetorian Camp in 23 CE in his Life of Tiberius, 37.1:
[Tiberius] Romae castra constituit, quibus praetorianae cohortes, vagae id tempus et per hospitia diversae, continerentur.
Tiberius established a camp at Rome in which the Praetorian Cohorts, without a permanent base before that time and spread out through the homes of various hosts, were garrisoned.
Tacitus explains his reasoning in Annales 4.2:
[Tiberius] vim praefecturae modicam antea intendit, dispersas per Urbem cohortes una in castra conducendo, ut simul imperia acciperent numeroque et robore et visu inter se fiducia ipsis, in ceteros metus oreretur. Praetendebat lascivire militum diductum; si quid subitum ingruat, maiore auxilio pariter subveniri; et severius acturos, si vallum statuatur procul Urbis illecebris.
He strengthened the previously moderate powers of the prefecture by concentrating the cohorts scattered throughout the capital into one camp, so that they might all receive orders at the same moment, and that the sight of their numbers and strength might give confidence to themselves, while it would strike terror into the citizens. His pretexts were the irresponsibility of a dispersed soldiery, the greater effectiveness of simultaneous action in the event of a sudden peril, and the stricter discipline which would be insured by the establishment of an encampment at a distance from the temptations of the city.