Is there a reason why people buy wood made of real expensive timber e.g walnut and not buy something that just has veneer on the face and strips of that expensive wood on the sides but the bulk of the volume is made of engineered wood?
There will be multiple reasons. All of them will be legitimate for each individual, but some are more legit than others.
One is simply the idea in the public's head that "solid wood is better" or "solid wood is a mark of quality". And while there is certainly some truth in both of those statements this is still largely a perception.
A related aspect of this same idea is that veneer is bad in some way, and again, there's something to that. But the presence of veneer is not at all reflective of furniture quality – some of the best furniture ever made historically made extensive use of veneer, with virtually all show surfaces covered in it (although it wasn't plywood underneath).
There are some perfectly real reasons for choosing solid-wood furniture.
Strength
Solid wood is more resistant to damage e.g. from a hard and heavy item dropped on a flat surface1 and much much more resistant to catastrophic damage as might be incurred from a collision or drop when moving, but even from something as simple as someone falling against a piece of furniture.
Another aspect is stiffness. A shelf made of solid wood — even a lesser species — will generally be much more resistant to bowing than a shelf of similar thickness made from plywood, and the difference is even more pronounced with MDF or particleboard/chipboard. This isn't to say you can't use any manmade board materials for shelves, far from it, but they may need to be reinforced in some way, or made much thicker, to compensate for the innate lack of stiffness.
Aesthetics
There can be a real aesthetic difference in the visible grain patterns. Almost always with factory-made panels/boards the discerning eye can spot that the item is not solid wood, because e.g. end grain isn't visible on both ends of a shelf or tabletop. Someone with a little more knowledge might be able to see that a surface is veneered because of the way that the bulk of modern veneer is cut2 which produces a grain pattern that isn't seen in boards.... and once you're aware of how odd it looks it's very hard for it not to stand out!
Longevity
I think everyone will have seen an example or two which suggests that furniture made from modern manmade board material (especially cheap particleboard/chipboard, but also MDF) may not endure. Possibly the most common example is chipped edges and especially corners, where you can see through to the core material. Another is swelling at an edge from water intrusion, with associated peeling laminate or veneer. Solid-wood furniture can be much more resistant to edge/corner chipping and is the same material through and through, and basically doesn't exhibit the latter behaviour.
Cost
Of course for many cost is a major factor, as it always has been.
But here's where it gets tricky. If you're thinking solid wood = more expensive that's not at all always true, and hasn't been for a long time. Since at least the days of MCM it is not the case that something using a lot of plywood will be cheaper than something made from solid wood. One need look no further than the iconic Eames lounge chair and ottoman for an example of some really, really expensive plywood ^_^
But there are many, many other examples. And in a typical modern furniture outlet in the West, a great deal of the expensive offerings are actually cheap furniture deliberately trying to look more expensive than it is, and hugely overpriced (I suspect most of this is markup, but I may be being too cynical).
1 You'll still get a dent, sure, but it will often be more minor, can possibly be repaired (by steaming it out) and there's no risk of damaging a thin veneer layer and possibly revealing the cheaper material underneath.
2 Most modern veneer is produced by rotary peeling.
