There are several reasons but here is a simple one.

Say you have 1M shares and 1M warrants in a margin account.

Depending on your banking institution you can get 25% or 50% margin.

So you can use the margin available to exercise the warrants, then your number of shares is doubled and hence your margin available doubles.

And the interest paid on a margin account can be categorized as a carrying cost and is therefore tax deductable.

Simple and I know investors that are doing exactly that.