1) Efficiency of Assimilation - As mentioned by MarvelX42, when assimilating a ship that uses screens, it makes sense to just keep using those screens rather than to re-program the whole ship to bypass them. This is especially compelling since we see "Borg consoles" much more often on assimilated ships, like the Enterprise-E, than on native Borg constructs, like the Cubes, where Drones are more commonly locked into their docking stations.
However, there are three other considerations that may be relevant:
2) Security - The Borg have been shown to be a powerful force, but they have still been hacked before, sometimes to disastrous effect. There may be a certain amount of security in having certain significant functions, like propulsion and weapons, require a physical presence at a console. That way, an errant Drone or an outside influence cannot gain complete control remotely.
3) Efficiency and Decentralization - It may be more efficient to have Drones perform certain functions physically, rather than devote bandwidth and processing power that could be used for more difficult operations. It's impossible to say without examining the exact technical setup of the Collective, but it may be that their mental network is reserved for communication, analysis, and forming a consensus, while the trillions of commands for controlling equipment aren't processed through the Collective at large. Therefore, the Collective decides where a ship should go, and then a Drone inputs the commands into the ship manually so as not to clutter up the data stream with the nitty-gritty details of execution.
4) Cybernetic Compatibility - It is easy to think of the Borg as a purely mechanical, computerized race, but we are reminded over and over that their biological components are equally important. It may very well be that their biological halves are why the consoles remain necessary. The Borg are obviously VERY well-integrated with their ships, facilities, and tools, but that integration may not be perfect, so it may not be entirely possible to control a ship, especially an assimilated ship built by others, by thought alone. Whatever prevents the Borg from making purely-robotic Drones may be preventing them from fully interfacing with their ships as well.
It's impossible to say for sure, but I think between those four answers, we've probably got a rough understanding.