I've wondered exactly the same thing, and have some personal theories:
1. In the wild, the lizards are collecting water for drinking from the bottom of the rock formations in which they live. The water may be collecting minerals from the rocks as it trickles down to where the lizards drink it.
2. In the wild, most insects are gut-loaded with local vegetation. Certain species of plants are very high in calcium, the cabbage family being one example.
3. In the wild, lizards may be licking the soil (lizards don't live on sand in the wild) or the rocks, and may be getting calcium that way.
4. In the wild, lizards are getting natural sunlight, and despite our replication of this with flourescent tubes that carry UVB wavelength, it just ain't the same thing.
KITKAT