One reason would be to store your savings yourself instead of entrusting them to a bank. Why would you not entrust them to a bank? Because of negative interest

One reason would be to store your savings yourself instead of entrusting them to a bank. Why would you not entrust them to a bank? Because of negative interest rates, capital controls (e.g. Greece) and concerns due to bank liquidity and bail-ins. That said, the €500 note thing is a bit of a red herring (I've never seen one in my life BTW). This is just the thin end of the wedge. The greater goal is to make cash as unattractive as possible to nudge (or force) people to use surveilled electronic cash, so as to better enforce negative interest rates, bail-ins and redenomination.