Most large organizations and enterprises at least try to take security pretty seriously. This means that the front door is not only usually locked, it is fortified and reinforced. This makes it hard for the bad guys to get in. So, do they give up? Of course not! What they do instead is look around back and start rattling the door knobs on the shed and cellar and the servants entrance and try to work their way in that way.
High value targets are usually locked down and secured pretty well, but this is not always the case for lower value targets. Once compromised, these lower value targets can provide a useful platform from which to attack other systems. For example, while traffic from the internet to internal hosts may be tightly limited, in many cases traffic between machines in the DMZ may not be as well regulated. Thus if you can own one machine in the DMZ, it can be easier to compromise other systems.