Not your keys Not your coins.
Personally I dont know why people are selling?
Just take your BTC off the exchange.
Or do most people using Bitmex dont have personal wallets?
What gives?
This is because derivatives on mex (in this case futures) can not only be used for degen trading but to hedge positions on spot markets as a risk management tool.
This is usualls what big traders do and when they unwind the trade on one side (bitmex) it has implications on the other side (spot market).