Those digital alternatives are provided by services that broadly reserve the right to pull your access to that media at any time. That doesn't even get into how many of these services are owned by large corporations who take the money that you the consumer give them for access to the media that they control and contribute it towards political campaigns or environmentally damaging ventures far worse than manufacturing a CD and wrapping it in a layer of plastic.
And if you're wary of either choice knowing that, there's always piracy, which naturally has been criminalized.
Bandcamp is one of those services.
Downloading that music to your devices is all well and good until you experience a RAID array failure. Or your SD card gets corrupted. Or your old phone decides it doesn't want to turn on anymore. Local digital storage is a limited, degrading resource. The device you put your file on is something you anticipate becoming eWaste that will be thrown away someday, and in anticipation of that happening we generally introduce redundancy that means more stuff that will eventually get thrown away.
I say this as someone who has his own Jellyfin NAS setup and who has both lost physical media in natural disasters and digital data to simple memory failure. None of these systems are infallible and physical media has value beyond simple nostalgia factor or novelty.