Supposed you really wanted them to have something resemling blood (because it's really a lot more hipster than just cables), your nanite self repair system might be the reason for that.
The system of blood vessels in biological creatures is extremely complex from a geometrical point of view, but since you already have nanomachinery, and the underlying rules of this complexity are comparably simple, you should not have a problem there.
Now to the why-question:
nanomachines need power in order to operate. If you imagined some kind of reservoir, or garage, for your nanites, where they are parked and recharged when they are not repairing anything, you need a means for them to reach the place in the body where they are needed.
Obvoiously they could use their internal means of propulsion, e.g. crawling, to reach their target destination, but that would drain their batteries. If instead you had a system of tubes similar to a creature's blood vessels, you could float them to their target location, pushed by a central pump.
It is even possible that a breach in the system (a damage comparable to an open wound) even facilitates the process: the pressure in the system already pushes the nanites to the opening.
The same system can be used to remove waste, like bits of things that were remoed by the nanites, back to a central storage.
The fact that a blood-like system allows for quite some story twists is a plus, of course.
Oh, and you don't really need lungs to speak. a simple loudspeaker could do the job just fine. But, Admittedly, lungs are cooler.