Just so they can find you and lock you up if they found out that you're doing something illegal, or if you're somewhat affiliated with terrorist groups.
Be aware that this isn't the only thing that they are doing with your data. A lot of exchanges, web wallets, ICOs, etc,. out there are far from reputable, and your data will likely be used or sold for everything from targeting ads to potential identity theft. Even large and well-known companies such as Coinbase
have been caught selling customers' datawithout their knowledge or consent. Many of the big exchanges report to various governments for tax reasons, or if your coins can be traced to activities which are illegal in your jurisdiction, such as gambling.
There is a not insignificant risk to undertaking KYC procedures, which increases with every new service you give your details out to. If you must undergo KYC, I would recommend picking a single exchange which you feel you can trust, and undergoing the bare minimum level required. I prefer to do all my trades peer-to-peer and keep my personal data private.