Presumably for cross-device interactivity. If I interact with ChatGPT on my phone, then open it on my desktop. I might be a bit frustrated that I can't get to the chat I was having on my phone previously.
OpenAI could store the chat conversation in an encrypted format that only you, the user, can decrypt, with the client-side determining the amount of previous messages to include for additional context, but there's plenty of user overhead involved in an undertaking like that (likely a separate decryption password would be needed to ensure full user-exclusive access, etc).
I'd appreciate and use a feature like that, but I doubt most "average" users would care.