Here's my thought... should you ever find yourself field-dressing a game bird/animal at dusk, and your knife slips from your hand among the muck and goo, a lanyard will make it a LOT easier to retrieve the knife without accidentally grabbing the sharp blade and cutting the heck out of yourself.
Which in turn will require leaving the game animal, getting medical attention, then going back to the game animal with a basically useless, stitched and heavily-bandaged hand, only to find that coyotes already nommed the choice cuts, ruined the hide, and spilled various horrible crap you don't want all over whatever's left, while you were busy getting stitched up because you're too dumb to not cut yourself.
I've not done that myself, but I've seen the results when others did it, and it wasn't pretty. They were all reaallly pissed-off about not just having a thong/lanyard/loop to hang onto, and pull simply it back without slicing their favorite biscuit-grabber open by mucking around in a pile of guts for a lost, sharp knife...
Lanyards? Yes.