Personally, its a combination of the following reasons:

• I’m not held to another server, and self-hosting my own makes sure that whomever hosting the server doesn’t just close the doors one day and decide they’re no longer going to do so

• I find it fun to setup my own services, like Matrix, Lemmy, Mastodon, etc

• I control what servers are blocked / defederated from, from my knowledge though defederating on Matrix doesn’t happen nearly as often as it does for ActivityPub based platforms however.

• I created Matrix accounts for some of my family members to communicate with, and if they lose the password I know that I can reset it for them rather than hoping they setup the account recovery info correctly.