I think in 99% of use cases, upgrading isn't a problem. Most of the time new SQL versions are backward compatible. I've never personally had a problem upgrading a database for a product that expects an older version.
They do have compatibility modes too, but those only go back so far too.
But, I think companies with their production databases for perhaps older complex systems are likely very weary of upgrading their working database. This is most likely where this situation comes from. Imagine being the person responsible for IT, that upgraded the DB server and database to the latest version. Everything seemed to be working fine. Then accounts run their year-end process, it falls over and now there are months of data in the newer version that won't work properly. It'd be an absolute pain to get things working again.
Much safer to leave that SQL 2005 server doing what it does best. :P