Why do some people have sex while their partner is on their menstrual cycle?

Shouldn't those kind of people just wait when the female has no kind of blood coming out and not on her period so it can cleaner with no mess, blood continuously flowing out, blood all over the guy, and maybe while she's cramping? Who have done this because I never done anything like this before and wonder how it's like when some perform this way (not that I want to try it or anything).
It sounds disgusting and weird to me, especially on how I can picture it.
 
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