Can't speak for anyone else, but I use them to keep from dropping/damaging/losing my lights. All of my users, from 1x123 to 4x123, have lanyards.
While I have particular lights that I use at work, I might use or compare any of them on a given night. I'm up on catwalks, climbing ladders, checking out an open tank, and open feed system throughout the night. A drop could be into moving machinery, a couple thousand gallons of industrial water and sulfuric acid, or 40ft. to concrete. I don't have to use my favorite and expensive lights, but they work best for me, so I do, and all it would take is one slip, and that expensive light could be gone for good. I don't care if my good lights get all beaten up, but I sure don't want to lose them.