I actually "started using it this month"

Most of those users are probably newcomers and for the veteran users who still prefer using such wallets, it's a trade-off between security ^{[+ a few other things]} and convenience.

Online clients/web wallets are always less secure, but that doesn't mean the latter is completely risk-free ^{[it depends on the situation]}!

• Here are a few more risks in addition to ETFbitcoin's comment:
  
  • Some of the web wallets are prone to having display bugs ^{[e.g. zero amount is shown, despite viewing your funded address on explorers]} that prevents you from using your funds!
  • If a hacker infiltrates their platform, there's a high chance that you'd lose your funds!
  • In some/most of the web wallets, you don't actually own any of the funds that you see in your wallet ^{["not your keys, not your coins"]} and if something was to happen to their website ^{[e.g. inaccessible]}, then you'd not be able to spend your funds on that moment.

The following link might come in handy: Bitcoin Improvement Proposals ^{[scroll down]}