The fundamental reason is to protect your private keys, and thus your assets.

I see some people have been sharing the link to my videos/HW device specific guides, in which you then miss the intended associated materials. Maybe that is what happened here. I think if you look through that, and the TREZOR/LEDGER specific links toward the end, that may change response.

The analogy that comes to mind is the KEY to your house…

If you place the key under your front doormat (hot wallet), but no one has broken in and taken your valuables. Do you say it has been fine so far and keep it there? Or do you remove the key from there and place it somewhere safe (cold wallet)? The answer seems pretty logical to me…

https://kryptonitelex.medium.com/security-wallet-safety-44b45661aab2