you try to hold or stop a high speed rotating wheel or disc with your hand, your hand would get heated within 3 to 4 seconds and you would remove your hand immediately.
Similarly, in the Disc Brakes
Calipers hold the rotating disc when you apply the breaks.
Though, the calipers inner lining is made up of some kind of asbestos to develop friction required to stop the wheel disc, at some point of time the caliper or disc would melt due to heat developed by friction.
If the holes are provided on the disc wheel, then heat would dissipate through holes, hence the disc and caliper are safe from overheating.