First, when I own physical media I know that I'll have permanent access to the contents, within the scope of my player working and my display and sound system working. Given that I've got VHS and Laserdisc still functioning in the mix I don't think this is all that big of a problem. Online content providers, both properly licensed and unlicensed have shown themselves to be unreliable for a number of reasons. Sometimes a provider closes down. Sometimes a provider is closed down. Sometimes a provider thinks that they have the licensing worked out and it turns out they're wrong so the title is pulled. Sometimes the provider has only licensed the work for a limited duration, or has licensed the work when it's off-season (thinking of christmas specials that are not accessible during christmas except from the one excluslve provider but are available everywhere off-season). Rates change. Even with the attacks on net-neutrality, being able to access may change.
Second, people like to collect things. People like having sets. There's a certain satisfatction in it. Obviously not everyone has this penchant, but that's ok.
Third, going through the motions can be a means to determine if one really wants to watch something, or if one is just doing it as the path of least resistance. Personally I feel I watch too much TV and spend too much time on the Internet already, without having a streaming service and without having cable or other pay-TV. It makes it a lot easier to actually go do something else besides vegetate on the couch if I find myself not able to make a choice for what to watch.
If some of these aspects apply to comic books or graphic novels or manga or whatever you want to call them, then I can see why people want phyiscal media and why they want sets.