I have most of mine on an exchange because I'm getting paid interest. Has there ever been a time when an exchange like Binance for example, steals your funds or gets hacked and people lost money?
You are being suggested to avoid storing your crypto on exchanges because that’s the least secure place that you can store your assets. Crypto exchanges can get hacked at anytime, although some of them have proven to be secure and have not been hacked yet, and also it all depends on the method that they use, just like coinbase.com: they have a cold storage where they keep majority of their users assets.
So, Coinbase might be a secure place to store your crypto because of the method they use, but over all you are being advised to have your coins stored in an offline wallet where you are in charge of the private keys; an exchange may have cold storage, but you don’t have the keys.