A lot of times they're worried about awkward situations like the doors slamming on people getting out or closing before the next group has time to get in. Meanwhile, they've created an awkward situation as the people right behind them, ready to follow them out, halt confusedly while they watch this person rearrange themselves into the corner, and then try to figure out who should exit first in this new arrangement. Sure, it's just a few seconds, but you all could have just poured out like subway passengers and no one would have to spend any time feeling weird.
OK, I admit the subway is probably not the best place to go for examples of non-awkwardness.
And that's assuming there's only one chivalrous knight on the elevator. If two people have the same idea, they could end up in a brief "after you" standoff after everyone's exited.
Or sometimes you're about to turn onto a busy street (or cross one as a pedestrian), and you're just waiting for a gap in the cars when some nice driver slows down and waves you in. In many cases this is a nice thing, but in some situations it just makes everything worse. For example, if there's more than one lane going the same direction, and one guy in one lane tries to wave you in, while the drivers in the other lane don't give a shit and keep going. You can't turn until both lanes are stopped, so this nice driver is just holding up his entire lane and accomplishing nothing, and everyone behind him is now mad at him and you.