Robert,
I think this should actually be a two part question: Why did Trump take the property to begin with, and your question, why did he retain the property when he could have easily destroyed it?
To the first, I think his psyche took a real hit when he was booted from the Presidency and, in his mind, taking those documents was his way to hold on to some degree of power that he lost. And his greatest need, even more than wealth, family, you name it, is power.
To the second, he spent his time in office, largely unchallenged. Sure a couple Impeachments, but he skated through those, which solidified his belief he was untouchable. I think it was easy for his ego to believe he would not be subject of anything as drastic as a warrant (I suspect almost everyone else also believed a warrant was unlikely). At worst, he was confident he may be subject of some minor legal skirmish (subpoena) to which he would play the usual delay game and finally, hand over some part of the booty, and likely hang on to a trophy or two. And that would be the end of it. Surprise!!
Marv