Holsters are great.
But there are times when holsters don't get the job done. If you have ever been slammed into a window frame while repelling, hung up on your pistol holster and trying to force your way through, only to make your way through and hear a sickening metallic CLACK when your pistol hits the ground outside 3 stories down, you figure out that a lanyard isn't a bad idea.
Or if you have had to crawl through a few hundred yards of rough terrain and noticed that you felt too light about 300 yards into the crawl, reach down, and feel the snap on your tactical thigh rig that has gone Tango Uniform because you were crawling over some rocks a couple hundred yards ago and your pistol is nowhere to be found......
Or if you have ever suddenly needed both hands to grab a buddy whose window entry has gone wrong and who is about to fall out of said window and break his neck...
In any of those situations a lanyard makes a lot of sense.