You can optionally have Keybase (generate and) store your private key for you.
It's designed to lower the barrier to entry, but is obviously less secure than managing it yourself outside of Keybase (e.g. in GPG keyring, or a physical OpenPGP smartcard such as a Yubikey) - and some consequently wish the storage had never even been offered.
That optional GPG/PGP private key storage was also re-hidden (and almost but not quite removed) functionality by Keybase over the course of the application's life as they moved away from using traditional GPG/PGP-style keys to a more complicated but more secure system based on device-specific keys (and chains/webs of those keys and their derivatives), around when you needed another device to onboard the next device rather than just needing to sign in with username/password.
It's designed to lower the barrier to entry, but is obviously less secure than managing it yourself outside of Keybase (e.g. in GPG keyring, or a physical OpenPGP smartcard such as a Yubikey) - and some consequently wish the storage had never even been offered.