Why Do Disc Breaks Have Holes?

Similarly, in the Disc Brakes

Calipers hold the rotating disc when you apply the breaks.

Source

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.