1. I like the idea of owning a game, not just having a license that can be revoked at any time. That concept is getting more elusive, but for example when you don't have internet or there's a server issue you can't play your digital Xbox titles.
2. The experience is different. I have had Steam for a decade and have dozens of titles, mostly bought through a Steam sale or a Humble bundle, but there are so many I can't actually play them all. Every physical game I buy, I will play for at least a few hours.

EDIT: Also, second-hand. I buy about half of my games used. I can also borrow a copy from a friend.