Not everyone has a FTP client installed in the system, or a FTP client that can be launched with the server to open (Windows explorer can open FTP servers but I don't think you could with a link. But I'm not sure).

A lot of sites, especially old ones, are build with the assumption that every browser can access FTP links as you would with HTTP. And so for example a download section is a link to a FTP server.

To me removing it is stupid. Is it a security concern? Not really. Also not having it in the browser will not make security better, a person that needs it will use it with another client. Will make the browser faster or smaller? Not really, a FTP client is something really simpler, and browser have them since ever.