Do you mean you should return it to zero when your done?
Or the manufacturers reccomended setting. The way it works is (simplified) basically this: The setting sleeve is acting against a calibrated spring, which pushes against a deflection beam. At the end of said beam there is a ball, which fits into a detent in the ratchet head base (inside the torque wrenches "neck". The click you are hearing is that ball "snapping" out of it's detent. The sleeve is on fine threads, and the more you turn it to increase the setting, the more you compress the spring. Leaving it highly compressed for long periods of time will cause the spring to take a set, and no longer apply the correct force to the deflection beam, thus causing inaccurate torque. Backing off past the "0" setting can allow the spring to come out of it's pocket, and then be compressed unevenly, or more than you intend, thus causing inaccurate torque.