Because HWs are not perfect; because with the right malicious wallet, even HWs can be fooled and money lost.
Well, I mean cold storage isn't perfect either. There's no perfect way to store your coins, but I have to hear yet about malicious wallets that fool Ledgers. Has there been any before?
The big question is: how you handle the paper wallets? I know stories of people losing their funds exactly while they were trying to fund their HW.
Paper wallets are definitely not how I'd suggest a newbie to store their coins. I just import them using Electrum, but there are lots of ways you can mess up. The point I was trying to make was that I only rarely use them and most often my Ledger, and until today I had zero issues with the HW.