Genuinely curious, because that's a long-standing habit of mine I only fully noticed recently.
If I'm leaving the house for any reason, I put the phone back in its case, but if I'm just sitting around my bedroom texting friends or talking on the phone...I prefer the feel of just having the bare phone itself.
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I could take it out, but the phone is very thin and very smooth, while the case is rubber and gives it a bit more breadth, which makes handling it a lot easier, and also protects it a bit when I drop it.
Regardless, though, the phone is much easier to handle when it's thicker. Thin phones are sort of obnoxious.