Most moths aren't totally flat, which means that when you take a photo using a small f-number, the proportion of the insect that will remain in focus is limited to areas of the body along the same imaginary focal line of the original point of focus. This is called having a 'shallow' depth-of-field, and is not a fantastic thing when you want to show the whole moth in all it's sharpened glory.
The larger the f-number (f/8-f/11 is often the sweet spot) the broader the depth-of-field will be, and as such the greater the proportion of the moth that will remain in focus. Voila!
|A Twin-spotted Quaker, snapped using an large f-number of 10 (left) and a small f-number of 2.8 (right)|