This is a questions which has been asked on Reddit after the landing at night of the booster used in JCSAT-14 mission, however no one has been able to provide a valid reason. The lights in question can be seen here or in the video, right after the landing. They appear to be steady-white for about 30 seconds, after which they began to blink.
Some possible explanations included:
FAA regulations (but the rocket operates in a no-fly zone, and the legs are opened just seconds before touchdown)
Naval regulations (but they could have attached lights after the landing and avoid the weights - if the lights from the barge were not enough)
Safety lights in case the rocket would splash down, but it's highly probable that it would sink in this case
Safety signaling for the crew, but the use of telemetry data makes more sense for that
It is likely, that as they traverse from the realm of totally experimental rocket techniques to more regular operations that FAA may actually want them to have lights.
You know, in case an airplane is flying by, and cannot see the 70,000 lb thrust engine firing. It can be mighty inconspicuous, to those who wish to ignore it. After all, not like any light can stand out next to a rocket engine exhaust light.
I suspect the lights are not for when the engine is firing, but when it is not. Keep in mind that the rocket booster isn't being lit the entire fall, but only for the critical portions of said fall. The rocket falls through the atmosphere for some time without having the rocket firing, a blinking light would make a lot of sense for that situation. From the photo below, I think the light can actually be seen without the legs being deployed, making it all the more likely that it is the case.