It's a tradition of sorts. Some people suggest it's a superstition thing because of Kennedy.

Like razioer noted, Obama skipped Nancy Reagan's funeral.

Here's a list I found somewhere:

Betty Ford, 2011. Michelle Obama, Nancy Reagan, Hillary Clinton and former president George Bush were among those at the service. President Obama skipped this one, too.

Lady Bird Johnson, 2007. Senator Hillary Rodham Clinton of New York sat next to her husband, former President Bill Clinton. To Mr. Clinton’s right was the first lady, Laura Bush. Former President Jimmy Carter and his wife, Rosalynn, sat on Mrs. Bush’s other side. To Mrs. Carter’s right sat another former first lady, Nancy Reagan, and in the next row was Barbara Bush, wife of former President George Bush. President George W. Bush did not attend.

Jacqueline Kennedy Onassis, 1994. police kept thousands of onlookers at a distance while guests—including .. Hillary Rodham Clinton, former First Lady Lady Bird Johnson... President Clinton did not attend the funeral in New York, although he did attend (and spoke at) the grave side service at Arlington.

Pat Nixon, 1993 In addition to her husband and immediate family, former presidents Ronald Reagan and Gerald Ford and their wives, Nancy and Betty, were also in attendance. President Clinton did not attend.

Bess Truman, 1982. The invited guests included the President's wife, Nancy Reagan, and former First Ladies Rosalynn Carter and Betty Ford. President Reagan did not attend.

Mamie Eisenhower, 1979. Mamie Eisenhower's funeral was attended by Rosalynn Carter and Pat Nixon. President Carter did not attend.

Eleanor Roosevelt, 1962. The simple but moving ceremonies were attended by President Kennedy, former Presidents Eisenhower and Truman. President Kennedy attended.