We have them in GITMO because there is no way to escape, no way any of their fellow fanatics will be able to try to set them free and there is a great psychological advantage to being able to bring them to a place that is so far from their home and reminding them often that there is no escape and no rescue on the way. They are not there to be held, they are there to be interrogated and anything that helps break down their resolve makes it that much easier.
I wonder if any of them actually know they are in Cuba or do they just know that they are prisoners who've been taken far from home.