It might seem illegal but the passport doesn't serve its purpose even if it's in your hands. Should you need to exit or leave the country, your company still needs it in order to arrange for an exit permit. Also,it's better to let your company have it for safekeeping. There have been lots of stories or even appeals in the daily papers of people who have lost their passport while it was in their possession.

In our company, passports are stored in a fire-proof safe. The staff have the option of either keeping the passports with them or letting the company keep it. Majority prefer to keep it at the company's safe, it also guarantees that the Residence Permits are renewed on time, as it is a common practice that it is renewed a week before its expiry.