many of us still keep our coins on our own devices
I believe they do it for a reason. Maybe they're trading rather than hodling, then they might find it more comfortable to keep their coins on their devices. Otherwise, it's too risky, I guess.
I for one, keep'em in a cold wallet. That's the only way to have a good night's sleep
Its understandable to keep some amount of coins on an exchange, as long as you treat it as a hotwallet and understand that those coins are at risk and may be lost through no fault of your own.
The coins on your own devices, are kept safe by you and you don't have to trust third parties.