Well… a couple of reasons: This picture was taken during World War II when Iron and Steel were being used for the war effort. Hence if you wanted to lift anything, you had to make arrangements other than barbells and dumbbells. Lifting sandbags offered a very effective alternative.
Secondly, Grimek loved all different kinds of training and a sandbag offered a new challenge, something altogether different than regular barbells and dumbbells would provide. Not to mention that the sandbag provides more of a “grip” challenge than a barbell ever could and building extra forearm strength is always a good idea.