Answer is simple – Security! Alternatives include storing private keys directly on a workstation – which makes them poorly protected in multitude of attacks. A better option is to use encrypted usb key but leaving inserted and unsealed usb key for a long time is insecure, while inserting it and removing it back and forth all the time is tedious.
YubiKey suits much better for this purpose by making your SSH keys much more secure while maintaining a great user experience.
YubiKey is a hardware security key which provides Universal 2nd Factor (U2F) cryptographic tokens through a USB and/or NFC interface. This means you have to explicitly authorize a new SSH session by tapping the YubiKey. The private SSH key should be useless to a malicious user who does not have access to the physical YubiKey on which the second private key is stored.