It depends on what kind of data you're storing. Structured data is usually much faster and more flexible/powerful to read using SQL, since that's exactly what its made for. If you want to search, filter, sort or group by a certain attribute, the index structures and optimizations of a DBS are appropriate.
However, when using a DB for storing large files (BLOBs), which contain unstructured data in the sense that you are not going to search, filter, sort or group by any part of the files, then these files just blow up the database size and make it slow. There is an interesting study by Microsoft on this topic (just have to find the link yet). This study is the reason why Microsoft introduced the External BLOB storage in their SQLServer, which basically means what you asked: The BLOBs are saved in files outside the database, because they measured that access is much faster that way.
When storing files (e.g., pictures, videos, documents...) you often have some metadata on the file which you want to be able to use with a structured query language like SQL, while the actual files don't necessarily need to be saved in the database.