At least where such receipts apply, like brick and mortar? I do. Not sure why. I think I like preserving the memory of where I got the game and when. Although my memory is quite good with the locations where I bought most any game in my collection, months and years are usually a blur. Sometimes I don't even know what year it is. I just realized VG Collect has a feature where you can enter the date when you purchased.
Bonus question - Does anyone use the notes feature to describe the where's, when's and hows? Or what do you use that for, if anything?