An added bonus, it slows down the bad guys from carting your stuff out the door. All the while the alarm is screaming.
Although not if the key is taped to the door.
It is a good point, though. I live alone so I'm much less bothered by escape issues. I keep an emergency key in a safe (that has a combination lock).
From what I've read, burglars will enter a house any way they can, including squeezing through narrow windows, or past broken glass (slowly and carefully so as to avoid leaving blood, which would be DNA evidence). Once in, the first thing they do is look for a way out. When they leave they may be in extreme hurry, or carrying stuff, so what they used as a way in may not be suitable as a way out. Having doors that don't need keys from the inside, or leaving keys on obvious hooks, makes life easier for them.
That said, I don't know how significant this is. I've not come across police reports of burglars giving up, or taking less stuff, because they couldn't get the door open to leave.