I think the question is pretty clear considering session can be stored on either the file system or within a database.
Where it gets unclear is I think the OP is relating the question to security in particular. If someone has broken into your server, I really don't think session data stored within a database is going to be any more secure than what is stored on the file system.
Generally, you would use database session data storage only when you are looking for simple methods of tracking users around your site. eg; Who's currently logged in, what page are they on etc etc. For normal session usage, the file system is fine.