web servers have this thing called cache
when several requests are made for the same file, the web server can send it from cache rather than having to read it off the disk again
you totally destroy this if the web server doesn't have access to the file on the file system, and instead must pass a request to a database server to pull the file out of a table
of course, database servers have cache too, but the inter-server traffic can be totally avoided
and let's not even mention the client's browser cache, which can't be used if the requesting url is dynamic (e.g. playmusic.html?clip=937)