I guess this stems from some bad experiences outside Apple's iTunes store. Having paid for an album I want to be able to "consume" it however I choose on whatever device I want.
Unfortunately if the company you bought music from goes belly up and you don't have "sane" backups of your music purchases you can be simply out of luck ..
This has happened to me a couple of times.
My other big "fear" was hard drive failure.
However with the advent of iCloud I don't really have to worry about this any longer. And Amazon (and others) are now offering similar services.
But I still like having a physical CD.
I like to physically handle the disc and to read the sleeve notes, which sometimes comes with added extras. (Remember the holograms on Enigma's first album?)
While I can download my iTunes purchases onto up to 5 devices that's only 5 devices. What if I want more? DRM is still around, even though it's not nearly as restrictive as it was a few years ago (thankfully!)
With a CD I can lend the music to a friend.
That's not so easy with iTunes purchases, unless you lend your iPod to them ..
However the real "thing" is one of price.
It cuts both ways.
Mainstream artists are readily available both via Amazon (et al) and via iTunes. You'd think that the iTunes version would be cheaper, as there's no packaging or shipping costs, but often it isn't, so I've still had an incentive to keep buying CDs.
But when it comes to artists that are a little less mainstream, such as Sicilian group Agricantus, iTunes wins hands down (assuming they have the artist in their catalogue).
Today I found out that Agricantus had released a new album, Kuntarimari, a few months ago.
So I went to a number of online stores to see about getting a copy. Unfortunately the price before shipping was around 20 Euro in most reputable places. However iTunes had it for under 9 Euro: Kuntarimari - Agricantus
Not only is that more than 50% cheaper than the physical CD, I also got practically instant gratification and was listening to the album within a few seconds of purchasing it.
I'm still going to buy physical CDs and I'll mix and match pure digital with physical, but I'm no longer as "wed" to a particular medium as I used to be. With Spotify I can access a lot of the music I like across multiple devices without ever having to purchase a specific CD. If I want to explore a particular artist I can do so without any "pain". With Last.fm I have lots of fun exploring "tags" and "stations" and again I can do so without actually buying. But if I do find an artist I really like I might go out and buy their album, though as mentioned above, which medium or format I use for the purchase is quite fluid.