The clowns don't host the anemones. The anemones host the clowns. What we know for sure is that the clown and anemone both get protection from predators from the association. The anemones also grow faster with clowns than without. The ammonia excreted by the fish helps fertilize the zoox, which is probably the main reason for increased growth. We also just found out that having a host causes a MAJOR reduction in the metabolism of the clownfish, though I can't really share all the details. Having a host offers the clown huge energetic savings though.
Beyond those reasons, we don't really know why the symbiosis exists since it's poorly studied, but there are probably lots of metabolic advantages.