Remember: Cryptocurrencies were designed to allow people to effectively take back ownership of their assets.
So when you store crypto on a wallet for which you have the only private key, that crypto is truly yours. No one else owns it and no else can get their hands on it.
The money you have in a bank is a different matter entirely. When you make a deposit, you effectively grant the institution the right to take control of your assets. The bank loans your money to third parties. And yes, you could wake up one day to find that its no longer there