Retention means an expansion of your threat model. Specifically, in a way you have little to no control over.
It's one thing if you get pwned because a hacker broke into your servers. It is another thing if you get pwned because a hacker broken into somebody else's servers.
At this point, do we believe OpenAI has a strong security infrastructure? Given the court order, it doesn't seem possible for them to have sufficient security for practical purposes. Your data might be encrypted at rest, but who has the keys? When you're buying secure instances, you don't want the provider to have your keys...
Isn't it a risk even if they retain nothing? Likely less of a risk, but it's still a risk that you have no way to deep dive on, and you can still get "pwned" because someone broke into their servers.
The difference between maintaining an active compromise versus obtaining all past data at some indeterminate point in the future is huge. There's a reason cryptography protocols place so much significance on forward secrecy.
There's always risk. It's all about reducing risk.
Look at it this way. If you your phone was stolen would you want it to self destruct or keep everything? (Assume you can decide to self destruct it) clearly the latter is safer. Maybe the data has been pulled off and you're already pwned. But by deleting, if they didn't get the data they now won't be able to.
You just don't want to give adversaries infinite time to pwn you