How would you get back inside the house without leaving the key in the exterior lock, making you unable to lock the door from the inside with the same key?
Not to mention the potential of having someone lock you inside, taking the key, and then something bad like a fire happening while you're stuck.
They actually do make locks that only release the key when they are locked-LOTO (lock out tag out) locks. They are used to disable hazardous equipment for maintenance. The idea behind key retention is that it prevents leaving the lock in an unsafe state where someone else could unlock it. It's also supposed to make it easier to know that the machine is actually locked out, since the maintenance tech can check if they have the key. Similar idea to some of the solutions to OCD posted, the tech can check if they have their LOTO key to be sure it's disabled before entering something like a trash compactor. The key stays with the lock at all other times.
That being said, for a door all your objections are pretty reasonable, the only use for key-retaining locks I know of is fairly specialized, but interesting in how similar it is to the reminders people dealing with OCD use.
Not to mention the potential of having someone lock you inside, taking the key, and then something bad like a fire happening while you're stuck.