This is not necessarily true. Working on a leasing contract via an agency saves the airline the money required for National Insurance and taxation contribution. The margin that the agencies make is usually less than this.
Also, if an airline just needs some contract pilots for 3 months for example, it is easier and less costly in terms of legalities and manhours to get the pilots from an agency.
In addition to that, the current payscales of a carrier for pilots working directly with them might not be attractive enough to get the extra pilots needed. The airline would be willing to pay more for a contractor for a few months rather than incurring the long term costs of recruiting someone directly (including compensation for terminating a contract). This way they avoid increasing salaries across the board in order to keep everyone else happy.