Because they feel safe. They feel no need. Today many exchanges are regulated like banks. So people trust them. They get lazy or trust a bank more then themself. Some people find it too complicated. Many have to learn by losing everything or waiting years to be compensated after a hack. If you ask people on the street if they want to protect themself or being protected. Many want to be taken care of. They want to give up some freedom an independence for safety. Or at least for believing in being safe.