Same (perceived) reason my bank and brokerages (and I think even my kid's school website does this) pop up a warning every time I click on a link that will take them outside their website.
I think there's a valid reason to think "if it's OK and common for banks and brokers to do it, it's OK for me to do it" and also to think "this will help protect users from being scammed by other apps who might pop open random links without any notices".