It's probably some chain to prevent the seat/seatpost being stolen.
ah, that's quite a good idea. there are some devices on the market for deterring seatpost thieves:
http://www.tredz.co.uk/.Zefal-Lock-n-Roll-Skewers_42279.htm?sku=107611&utm_source=Google&utm_medium=AdwordsProductAds&utm_campaign=Adwords&gclid=CNrEwuevlsECFUrpwgod2VMAjA
but there are not any i know that have anti-theft qualities for a saddle. so i guess people have to improvise.
@wqvm started
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It's probably some chain to prevent the seat/seatpost being stolen.