There are already wallets where you can keep the private key with free and open source, I don't know why they don't think that. I don't know why they believe the exchange than himself?
The reason some people leave their coins on exchanges is because they are ignorant.
I would also blame laziness. In my opinion, quite a lot of people have somewhen heard about hacks / fails of centralized exchanges and are well aware that such issues are possible in general.
But when it comes to moving these coins out of the exchange, some people are just lazy and keep their coins stored on the exchange, for whatever questionable reason such like keeping them there for a
possible trade (not recommended) or whatever reason. Most often it's just laziness.
When recommending to transfer all coins to cold storage, such people might say "It won't happen to me", "It's a big exchange", "Exchanges have become safer now" etc.
Sure, until it happens...
And when it happens such people are being butthurt...
But you are right of course, quite a lot of them are also extremely uneducated, like referring to Blockchain.com as Bitcoin operator (explaining that Bitcoin would be stored in the Blockchain(.com).
)