It has value because:
The Government cannot easily confiscate it.
It is virtually immune from theft and is safe to self-custody using a hardware wallet.
You can cross borders and take your wealth with you since the wealth is in the cloud.
It is immune from confiscation through inflation since the fixed supply of 21 million bitcoin is inviolable in the code.
You can pass it to your heirs silently.
You can buy things anonymously through privacy coins such as Monero.
etc.etc.etc.