If you look at the scores for Corelli's concerti grossi, for example, you can see that the concertino (soloists) and the tutti (full orchestra) each have their own basso continuo parts. These continuo parts mostly coincide, but sometimes differ. The reason for this arrangement is not known for certain, but it could have something to do with fullness of sound (a single harpsichord doesn't carry far in a church or similar environment), or with the convenience for the soloists of having their own continuo section within earshot, so to say, especially if there is some distance between soloist and orchestra. (A popular arrangement in a church, for example, was to put the orchestra near the altar (perhaps with a harpsichord continuo), and the soloists in the organ loft, or vice versa.)
Another consideration could be this: since in most baroque compositions the continuo plays more or less constantly, it must be pretty tiring for one harpsichordist to play all of it. Hence the need to alternate between two instruments. This was often done in operas; one harpsichord for the orchestral bits and another for the recitatives.