I have often wondered about this, as I know I do this, even setting myself arbitrary deadlines, not always with the best results. The following is not an opinion, but based on some information found while, ironically, taking a 'break' from my PhD drafting.
According to "In Search of the Arousal Procrastinator", (Pychyl, 2008), the notion of 'working under pressure' could be based on their cognitive dissonance, concluding (in part):
a common theme about self-deception and task delay. We often rationalize our current delay because we don't feel like working on the task by evoking (irrational) beliefs like, "I'll feel more like it tomorrow" or "I work better under pressure." Although this may be the case on rare occasions for some tasks, on the whole these thoughts are simply rationalizations to justify further delay and make us feel good in the short run.
However, according to "Procrastination or 'intentional delay'?" (Novotney), there could be benefits in the procrastination, as it may lead to better planning of what is needed to be done, so the pressure of the deadline is not necessarily entirely harmful.
Other resources cited in the above links:
Ferrari, J. R. (1992). Psychometric validation of two procrastination inventories for adults: Arousal and avoidance measures. Journal of Psychopathology and Behavioral Assessment, 14, 97-110
Ferrari, J.R., Johnson, J.L., McCown, W.G. (1995). Procrastination and Task Avoidance: Theory, Research, and Treatment. New York: Springer.
Schouwenburg, H.C., Lay, C., Pychyl, T.A., Ferrari, J.R. (Eds.) (2004). Counseling the Procrastinator in Academic Settings. Washington, DC: APA.
Burka, J.B., & Yuen, L.M. (2nd Edition). (2008). Procrastination: Why You Do It, What to Do About It Now. New York City: Da Capo Lifelong Books.