From World War II, the problem with keeping it at your own place was that, if someone overruns your country, your government-in-exile may be able to keep control of gold that is outside your country. Gold that is inside your country, however, is controlled by the invader. (And may be looted by them. Even if you later get your country back, the gold may be gone.)

That exposes you to the risk of the country holding it. But for much of recent history, the US was seen as a lesser risk than a Russian invasion. Whether that is still the way the risks balance... I think we each may hold our own opinion on that.