It all depends on what you want from your backup and security.
If the information is highly confidential then removing it does indeed increase the risk of it falling into the wrong hands.
On the other hand, if your information is absolutely vital to the running of your company then having backup copies in several different locations is sensible as the chances of all the backups being lost at the same time due to theft or fire or some other disaster is significantly reduced.
As long as you can trust the people who hold the backups not to divulge or sell the information then I would continue as your company does at present. This system means that you have multiple backups and the amount of data lost will be relatively small in the event of your main computer going bust.