Holding millions of dollars worth of coins yourself, rather than in a bank can become quite nerve wracking. Open your wallet on the wrong computer, or let someone untrustworthy to see where/how you hide your key, or how much you own, and you can wake up one day with all your funds gone.

I know there is the other side of that, that the government can seize your funds in a bank account, but realistically they won't target you out of millions of people who have millions in their name.