There may be only two good reasons:
- Reliable fixed income,
- Speculation that the price of the bond would appreciate.
I'll discuss the latter reason first. Since 1994, U.S. long-term Treasury bonds have been terrific investments returning on average 8.24 per cent per annum as measured by the Vanguard Long-Term Bond Index Fund (VBLTX), which invests entirely in this asset class. What's more, VBLTX has had a low risk. It provided investors excellent protection during the uneasy times of the Mexican crisis of 1994, the Asian crisis of 1997, the dot.com bust of 2000-2003, and, last but not least, during the Lehman Brothers crisis of 2008.
Prices of bonds (especially the long-term bonds) only grow when the interest rates (yields to maturity) go down. It's basic financial mathematics, which you can play with when you discover the Excel functions of YIELD and PRICE.
When the interest rates (yields) are low enough to the point where there's very little space for any further decline, the growth potential of government bonds is pretty much depleted. At the same time, the bonds are no good source of reliable fixed income. With the U.S. Treasury Bond maturing in 2034 and yielding mere 3.03 per cent per annum before fees and costs, thank you very much. This is an investment I can live without.
In another twenty years, interest rates may increase again. In such a case, bond investors would be severely punished with a price decline. (Try out the PRICE function, it's fun!)
Thus, I keep avoiding government bonds, especially the long-term ones.
Disclaimer: I may be wrong, of course. If the U.S. economy turns Japanese (zero growth and low inflation for decades), U.S. bond yields may further decline even from the current low levels. I find this scenario unlikely, but who knows? The eurozone is probably already there.