According to Osho, after enlightenment one can live as a king or a beggar—it makes no spiritual difference. He chose to live like a king because he was born poor and wanted to complete the 'fourth possibility,' the only untried alternative, to show that awakening is free, playful, and beyond roles. 'Why not?'—somebody had to fulfill the remaining option.
He lives like a king to show that enlightenment can wear any costume, and he picked the last unused one.