A 19th century German chemist Justus von Liebig was one of the first people to propose that by applying very high temperatures to meat you would create a 'sealed' layer of cooked meat through which liquid inside the meat couldn't escape.
Liebig's experiment compared the liquid and nutrients from a piece
of meat submerged in cold water which was gradually heated in that
water and simmered in the cooking liquid with a dry piece of meat
applied to an extremely hot surface. Liebig thought that searing
meat "sealed in juices," because the resulting meat was juicier
than the meat that was essentially boiled to death.
However, in the book On Food and Cooking, Harold McGee makes a
direct comparison between a seared piece of meat and an un-seared
piece, both cooked with identical methods. The result was that the
seared piece of meat actually retained fewer juices than the
un-seared piece, and at the very least the searing did nothing to
preserve the moisture inside the meat. This debate still
continues. Many people think that searing meat does result in
moister meat, while others dispute it.
In reality, the best thing about searing meat is that when applied
to high heat, the surface of the meat undergoes the Maillard
Reaction, which results in some delicious browning on the surface
of the meat. Bottom line; sear your steaks, not because it locks
in juices, but because it is tastier.