Because Blockstream Green uses multisig, with you having only 1 of the 2 keys, meaning that you can't simply just restore your wallet backup to other wallet software like Electrum. The backup pretty much only works on Blockstream Green. So when Blockstream Green closes down someday(I completely doubt it, but still the possibility is there), you pretty much lose access to your funds completely.

With that said, as long as you're just going to use Blockstream Green as your hot wallet(probably $300 worth of bitcoin at maximum), you're going to be fine. If you hold larger amounts of bitcoin, then a hardware wallet like Ledger[1] or Trezor[2] would be the superior choice.

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[1] https://ledger.com/
[2] https://trezor.io/