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