When their computers are compromised, by internal or external crooks, the crooks have full access to your code, and - in some cases - your data. If they wanted, they could inject their own shit into your binaries, totally ruining your reputation.
As a bonus, you get to pay a premium!
I still compile and test my code on my own machines, in my own network. It's much faster than CircleCI, cheaper, and it's ∞ safer.