It used to be from back in the day, when Rapidshare and the like weren't around.
People used to have to upload onto hacked FTP's and such.
It blocked the referral so whoever owned the said FTP wouldn't know so easily.
Shit, I still remember when SourceForge was used as one of the first filehosts. People created fake projects, and uploaded files into certain directories. Then came along sites like Rapidshare.de.
Nowadays, it's used to prevent phishing, or simply for aesthetics.