I think they do it for a few reasons:
Publicity: They want people to know they exist.
Legitimacy: They aren’t just a ragtag group of thugs, they are an organization with some level of professionalism that is important enough to be interviewed.
The human side: They want to show that they are people too. This might garner some sympathy from the public.
They also ensure the leaking is kept to a minimum. Sometimes they will take the interviewer to an unknown location. They closely monitor what is recorded, etc.
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