1) I don't like having all my eggs in one basket. I have multiple browser windows each with multiple tabs. Things simply get lost in the mix. My OS has always had a better task switching UI than my browser.
2) Web browsers crash. So do apps of course but the damage is localized. When a browser goes down hard I lose everything. Doesn't happen very often but definitely more often than a kernel panic.
3) Web apps tend to still be slow and clunky. For example I get scrolling lag on the G+ page. I would use it more often if I just had a G+ app available.
4) Native apps can be segregated. I don't really trust companies like FaceBook or Google not to spy on every bit of data they can find via my browser. It seems to be totally acceptable to them. Less likely to happen with native apps.
5) I want the best integration possible with my OS.