Short Version :
Two main uses
I'm doing an arbitrage/statarb strategy (volatility for instance) which should not be dependant on the Delta (I'm an arbitragist).
I HAVE to keep a product in my portfolio, but I don't want to be EXPOSED to it (I'm a market maker).
Long Version :
The goal of Dynamic Hedging is not down the line to earn risk free rate of return. You are probably talking about a Delta Hedge, Delta is not the only Greek you can hedge, you could hedge over Parameters, but I assume you're talking about Delta.
If I'm an option trader, I can basically Buy or Sell Volatility, I will hedge my Delta at the start of the day (Usually before the close of the day before). But I will gain money on the day after if realized Volatility is Higher than Implied Volatility if I'm a Volatility Buyer (and vice versa). Pay off of the strategy below :
So I need dynamic hedging, which if done every minute will provide me risk free interest rate minus fees (i.e. probably negative return), if I do it once a day I will realize profit that is not related to the direction of the change of the underlying but rather it's intensity.
Other businesses in Finance need to Hedge Frequently as they are not supposed to have a directionnal bias on the market, most notably Market Makers and Liquidity Suppliers. Sometimes you also need to keep some position you can't sell, like an OTC swap, in your portfolio, you probably want a very good hedge on this.