While digital games do have their conveniences there are a few problems with having digital-only games:
You can't resell them/trade them/give them to friends, family, etc. (though I guess you could give your account info or share an account with a friend or family member so they could download your games, but I think this is generally frowned upon, and will probably be restricted if games do become digital only in the future)
You can't rent digital games just to try them out and instead have to judge the game based on a limited demo, if that's even availiable (though this could change with something similar to PSN's 60-minute full game tials being implemented)
No physical bonuses for preordering games or bundled hardware or other physical items (unless the digital store mails you the physical items after purchasing the game).
They take up storage space on the system, and this can be more of a problem with systems with limited, non-upgradable storage space (such as the Wii) which means possibly having to re-download games several times, or having to move the game back and forth from a backup media (if copying the game to a backup media is even allowed).
No possibility of getting games for any cheaper price than what the digital store sets (unless sites like Amazon sell digital codes to get the game at a cheaper price).
People who either have slow Internet speeds (like dial-up) or no Internet at all either will have to wait a long time to even get games or have to take their system to a friends house to get games. They could put digital games on flash drives, but then the game would still be physical.
If a digital store is poorly designed (e.g. Wii Shop Channel, DSi Shop Channel, BREW store on feature phones, etc) in a way that doesn't allow you to re-download purchased games on a newly bought system to replace a broken, stolen or simply older system then people will have to either re-buy games they have previously purchased or resort to piracy.
If for whatever reason the game gets removed from the digital store or in many years from now the digital store supplying the games removes all or some older games, then the game will no longer be available to anyone who has never owned the game and even possibly people who do own the game but want to re-download it (since they might have deleted it). Since digital games have pointless DRM protection they can't simply be copied to another system without being hacked in some way. Basically, the game's availability is in the hands of the digital store (and possibly hackers who take the time to crack a game's DRM protection) whereas physical copies of a game can float around for many years to come whether or not it's supported by its publishers or distributors.
For example, I have several apps I have downloaded from the app store that are no longer available. I can't re-download them anymore. I can still keep them as long as I have the digital file, though I can't give it to a friend to use on his iOS device (since the pointless DRM on the file is locked to only allow the app to work with my iTunes account) and if I were to lose the file of the removed app on both my iOS device and backups I would lose the app forever (well unless Ijailbreak my iOS device and get a hacked copy of the app).
There are also other reasons some people might have such as liking the feel of going to a game store and buying a physical copy, the look and feel of a physical copy, the funny/interesting stuff that may be put into a physical copy of a game (such as the funny reversible cover of Ratchet and Clank: All 4 One), easily showing off your collection of games or any other personal reasons.
These are the reasons why the only digital games I purchase are games that are exclusively digital.