You are right, most people use multiple exchanges, very few people stay in just one. I use multiple exchanges so that my money is less at risk, when I put all my assets on one exchange, if it gets hacked, all my money will be lost. So if I collect my funds on multiple exchanges, if one day it gets hacked, I will not suffer much.
However, I use a few popular exchanges, the top exchanges are very unlikely to be hacked, and their security is very strong. However, one place to collect and keep your funds safe is a wallet, the chances of hacking are much less here, wallets are safer than exchanges.