I had always thought one of the main reasons for a lanyard was to free a knife from your pocket, which had no clip. You would stuff the knife down into your pocket, and leave the lanyard hanging out so you can grab onto it. I've also seen lanyards used on small knives, such as three finger knives, and you can use the extra length from the lanyard to wrap the fourth finger around. The above suggestions are other reasons I've heard aswell, so it's basically for whatever you can use them for.
From my own experience, when I first started making paracord lanyards I would practice putting them on my cheap knives. I stuffed the knife down into my pocket, yanked on the lanyard and when the knife came free from my pocket, it actually flipped open from the force of the pull. I don't think this is very safe, because it could probably whip around and slice your hand open, but it worked at the time. It was very fast pulling the knife out and having it ready. Atleast for a folder with no clip. I'm not sure if people actually use the lanyard for this, or if it even works that well, but it worked for me at the time. Safe or not.