The sequence matters. If you have a lot of air right after your master cylinder for whatever reason, that air can travel to any point in the system. At some point, the hydraulic line attached to the master cylinder will branch to each of the four wheels. As you pump the brakes, the air will propagate down the hydraulic line, and randomly go down one of the branches towards one of the four wheels.
If you start with the wheel closest to the master cylinder and bleed it until there is no air, and then move on to the wheel furthest from the master cylinder (just as an example), as you're pumping the air out of that longest branch you could realistically get more air bubbles in the shortest branch. You wouldn't even get that air out, because you've already bled that wheel and you think you're done with it.
When you start with the furthest wheel, though, you minimize the possibility that you miss air bubbles. This is because when you move from the furthest wheel to the second furthest wheel, you now only have fluid flowing past three of the four branches. There is no fluid that is passing that fourth branch, so there's less chance of air getting in there. Here is a rough illustration:
# Rough Image
| | <- Master Cylinder
Closest Wheel -> ----|
|------- <- Second Closest Wheel
3rd Closest Wheel -> ----- |
|--------- <- 4th Closest Wheel
So, hopefully you can see via this illustration that if you are bleeding the 3rd closest wheel, there isn't any fluid flowing past the branch to the Fourth closest. However, when you are bleeding the 3rd closest, there is fluid flowing past the Second and 1st closest, meaning that you still need to bleed those when you're done with the third closest.
Edit: As pointed out in the comments, you should always refer to your manufacturer's instructions for the correct maintenance procedure for this and any other maintenance you perform on your vehicle. What I've provided here is just an explanation as to why the rule of thumb exists regarding a standard order for bleeding brakes.