ICly, even your priest is attended to by what amounts to a small army of courtiers typically. It would make sense for them to also carry around a piece of the True Cross (for example) or other relics to appeal to the faithful.
Though knights also having access to such makes sense as well, as even historically (as with the True Cross and other relics) soldiers tended to carry around religious icons to boost morale and feel themselves religiously justified in their actions. The loss of a religious relic could be morale-breaking without question.
