Little kids often sleep with stuffed animals to comfort themselves. Likewise, many adults often sleep with their cats to comfort themselves. At the same time, the cat gets to comfort itself too by sleeping with its owner, so everyone benefits.
Of course, not every cat and cat owner may want to sleep together. Even though cats can be warm and cuddly, they can also weigh too much and make too much noise that can keep you awake. So when sleeping with your cat, make sure both you and the cat enjoy the activity.