Styles convey usability, so I consider them to be a dependency. Styles reference the markup, and since they live in the components...it's fair that they live close to each other. I'm not saying they should be on the same file, but just putting them in the same directory has given me a lot of sanity.
When you have styles living far away from your components, you start to lose track of which styles reference what. And you will find yourself jumping from place to place to fix a component. Keeping them far away is overhead that can be avoided.
I read something somewhere that made a lot of sense to me, so I will just quote:
Separating styles and components would be a separation of technologies, not concerns.