They have lots of confidential information. Some examples:
* Many agencies - for example, the IRS, Medicare, Social Security, FEMA, agencies that provide loans, or any other service - have lots of information on individual citizens.
* Many agencies have information or make decisions that would distort markets if leaked - it's release must be carefully managed - such as the departments of Treasury, Labor, Commerce; or the Federal Reserve.
* The Department of Justice has lots of information pertaining to lawsuits and investigations that must be kept secret.
etc.