Their goal isn't only safe storage, it's also being able to sell when needed.

You can't quickly trade with the gold that's in their own safe storage facility in Zeist, because you would need to physically transport it. The reserve at the Bank of England is put there because there is a large market for gold trading there. So you can use the gold immediately to influence the markets.

Putting it in a safe place in another European country wouldn't have added value over storage in Zeist.