I blanket for a few different reasons.
One is, a horse that doesn't get blanketed grows a huge coat, which is great. However when you ride a horse with a big heavy coat it sweats. And when it sweats it can give them a big chill and even make them sick.
I seem to always end up having the horse that shivers its weight off. It is bitter nasty cold here. I spend a lot of money to keep weight on my show horses. I am not going to stand and watch them shiver the weight off.
I have boarded in heated barns with heated indoor arenas. When they are inside they have a light stable sheet. When they get turned out they have big heavy blankets with hoods. If they didn't they would freeze outside.
Plus I wont deny it makes life a heck of a lot easier for me in the end.
Using the "they have no blankets when they are in the wild" argument doesn't work. Horses in the wild do not live nearly as long as they do when domesticated.
Its just another one of those things that either works for you or doesn't. Just like the barefoot vs shoes, bitless vs bit etc etc...