Again we saw an exchange got hacked. There would be nothing to hack there if people didn't keep their coins on exchanges! For the love of Dog (lol), don't keep your coins on exchanges, start practicing safety, this is your investment we are talking about!
I think it comes down to a combination of laziness and people trusting the exchange too much, maybe wowed by its slick interface.
Sometimes it takes a lot of time to get all your coins out and into seperate wallets, so it's just easier to leave them in there, thinking it will not happen to that exchange.