They actually do, for both filming and presenting it on the screen. The good, hollywood films are still shot on film because digital isn’t able to get the same dynamic range as film and still can’t compete with good film in picking up the richer colors.
The reason they’re shown on the big screen from a reel, is that each 35mm film slide is the equivalent of 35MB’s of image. So the digital equivalent would have to process about 1Gig per second and they still haven’t found a way to approach that with pure digital.
What is ironic/interesting, is that studios will generally shoot on film, scan it into the digital world for easier editing and than put it BACK onto film for showing in the theaters