CDs are read-only, whereas a USB stick has (generally insecure) firmware that can be modified. So in a setting where the user is concerned about persistent USB malware, it can make sense to use them.

It's a niche concern of course, but I suspect it's a little bit more common in the OpenBSD community than in many others. Of course it shouldn't be too hard for those users to build their own install boot CDs with the tarballs for installation, just skip the big package sets and install them later if the whole won't fit on the disc.