Partially as a way to hold the instrument, since there’s no other good place for your second hand, and partially as a way to apply a muting effect. Trumpet and trombone players can do something similar by covering their bells by hand, it’s just easier when your one hand is already on/ in the bell.
Source: Brass player (primarily euphonium) for the past 30 years.
In addition to the other answers, a modern horn is built to be distinctly sharp if you *don’t * have your hand in the bell, so you kinda have to do it now to stay in tune.
In earlier times, before the advent of valves, you used your hand to change the pitch of the note you were playing, either bending it down by partially obstructing the bell, or up a half step by “stopping” the bell almost completely, thereby shortening it. You can pretty easily play a full C major scale by combining those two techniques, and experienced players could do much more.
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