Why do people throw money in to fountains, down wells, or in to other water features? Bitcoin is yours and yours alone. No one can stop you from doing anything you want with it, even if everyone else thinks it's a stupid idea. But if someone else wants to make my bitcoin more valuable by burning some of their own, then who am I to argue?

Also there are some burn addresses serve a purpose, such as the CounterParty one which gave users a proportion number of XCP tokens based on how much bitcoin they burned. Or encoding data for other purposes as mentioned above. There are various other systems built on top of bitcoin which insert data in the bitcoin blockchain for their own purposes. Such as why many block rewards include and OP_RETURN output labelled "RSKBLOCK".