What do you mean by a disk backup device? Do you mean a USB device or a removable drive?

If so, one reason would be if you have to supply the backup to another server, regardless of whether it is local or not. Sometimes network connections are slow, in that case it is easier to use a removable hard drive and just connect it to whichever server needs the restore.

//added after posting//

Another reason is what happens if the hard drive crashes on the server? You lost the backup. But if it is a removable drive, it is most likely still good.

-SQLBill