There are many reasons. Avoiding the various problems with exchanges. Transaction fees, conversion fees. For instance there is a fee of 1.49% on total amount of bitcoin one might wish to sell, this might not seem like much but when selling thousands of BTC it accumulates quickly. Too many horror stories of people getting locked out of their accounts on Coinbase. If you refute these claims please explain why. Don't just say "that's bullshit" followed by some childish insult.