Well if you are Charles Leclerc (No 16) is a Monaco born F1 driver, racing under a Monocasque licence and contracted to Scuderia Ferrari.... There's more..., it’s because you were born there and that is where your family live, but for others, there are a number great of reasons.
Monaco, officially the Principality of Monaco, is a sovereign city-state and microstate on the French Riviera a few kilometres west... There's more... is a principality and if you live there for more than 6 months of the year you are not subjected to Capital or Wealth taxes. Paparazzi are not welcome in Monaco so it is easier for the rich and famous to move around without being bothered. And, of course, it is a “Billionaires playground” on the French Riviera.