There are times when this is useful. For example, in this suggestion:
it was useful to quote from Mike from another post in a locked thread about XenForo 2.0 and the development of a payment gateway. As the thread was locked, I was unable to add the text from that post using either multiquote (no link in the post) or selective multiquote (highlighting the relevant text didn't bring up the +quote option).
It's possible of course to just copy and paste the relevant text into standard quote tags. It's also possible, if you know the format for quoting, to replicate the 'proper' quote that you would get if quoting was available (which has the advantage of linking back to the original post). I was able to replicate this in my response in that thread. However, it is a faff to have to manually type all of the extra information (which in this instance was [QUOTE="Mike, post: 1044323, member: 3"]). It would be far easier to just be able to quote 'properly'.
I believe from this resolved bug report that things as they currently stand are as designed:
However, unless there's any technical reasons for not being able to do this, I don't see any reason to not be able to quote from locked threads. So if there aren't any particular reasons for the way things currently are, I hope you will consider adding this ability to quote from locked threads in the future.