There are a few reasons:
1) They are not very memory intensive. It’s up to you basically. Changing parameters about the probability of a node to have a given number of levels will make then less memory intensive than btrees.
2) A sorted set is often target of many ZRANGE or ZREVRANGE operations, that is, traversing the skip list as a linked list. With this operation the cache locality of skip lists is at least as good as with other kind of balanced trees.
3) They are simpler to implement, debug, and so forth. For instance thanks to the skip list simplicity I received a patch (already in Redis master) with augmented skip lists implementing ZRANK in O(log(N)). It required little changes to the code.