It's also something of a legacy convention (though one I prefer to maintain), from when PDF files were a leading vector for malware.
Though even back then, malware concerns aside, people would curse when a link caused Acrobat Reader (or, depending on one's system, the full Acrobat program) to unexpectedly fire up. Once upon a time, browsers didn't have integrated PDF handling.
And, even now, with integrated PDF handling, said handling is not proof against exploits.