Probably the cost associated with storing, counting, insuring, securing, depositing the money. I get the privacy aspect but then why not get a prepaid credit card or something like that?
Is that an EU thing? In the US you can buy as many $500 visa cards as you want at any grocery store with no ID. You may need a manager's override if you're buying over $10,000 but that's just to verify that you're not falling for a gift card scam.
Converting >$10k from card to cash on the other hand often requires an ID
No it doesn't. I resent being asked to produce ID for every little thing. Someone tried to card me when I bought beer in a supermarket the other day. I'm 52.