patagonialukeThey exist because a lot of people don't have boots that fit properly. Thick socks can take up excess room, and work better in boots that aren't very tight. Also, the idea that thinner socks can actually be warmer — while certainly true in some scenarios — is extremely counterintuitive to most people. They see a thick sock and think "warm," so they keep buying them and companies keep making them.
And then when they come back into the store complaining about cold feet, the shop will sell them a thin sock, and thus the sock companies again profit.