Physical disconnection is a partial move towards total black-box conditions, like inside a Faraday cage where no electrical emissions are leaking out. Ideally, this is how you'd want to generate/access private keys if you're doing so electronically.

Disabling the device drivers themselves on something like Linux is a valid solution for keeping info from leaking off of that system, but on a phone or other less open-source systems you can potentially still be connected even when wifi is turned off.

Additionally, you don't really want Alexa listening while you recite your mnemonic phrase aloud while verifying it, or your smart phone to be pointed at the screen/keyboard while sensitive info is being used. We surround ourselves with top-quality surveillance equipment, and the privacy-minded person will take all the steps (even ones that can be argued to be excessive) to protect themselves & their most valuable information.