The Dwemer disappeared long ago, leaving their ruins wide open for thieves, bandits, treasure hunters, outlaws, and assorted other ne'er-do-wells to move in and take over. (Of course, they need to fight off any Dwemer machines and avoid any traps, but that's another matter.) And everyone wants to try to steal-- I mean, recover-- the closely-guarded secrets of the Dwemer, so of course they need lots and lots of lockpicks to try to break into all of those Dwemer chests, lockboxes, and desk drawers.