Something that's sanitized from an HTML standpoint is not necessarily sanitized for native desktop & mobile applications, client UI frameworks, etc. For example, with Cloudflare's CloudBleed security incident, malformed img tags sent by origin servers (which weren't themselves by themselves unsafe in browsers) caused their edge servers to append garbage (including miscellaneous secure data) from heap memory to some requests that got indexed by search engines.
Sanitization is always the sole responsibility of the consumer of the content to make sure it presents any inbound data safely. Sometimes the "consumer" is colocated on the server (e.g. for server rendered HTML + no native/API users) but many times it's not.