One reason to use a constructor would be if you want to create an
object but don't want to keep the variable.  For example you may want
to add new objects directly to a list:

Dim ListOfObjects As New List(Of SomeClass)

ListOfObjects.Add(New SomeClass("something"))

Or perhaps a method needs to return a new instance of the class based
on parameters:

Public Function CreateAnObject(someString As String, someInteger As
Integer)

   Dim something As String

   'Do some calculation with the integer or some manipulation of the
string

   something = <result of manipulation>

   Return New SomeClass(something)

End Function

These are very simplistic examples, but using a constructor can make
the instantiating code easier to read.

In reality, what Miha wrote is correct.  If the data is needed to
construct the object then use a constructor.  Otherwise, it is entirely
appropriate to instantiate the object and then set the properties
later.  Sometimes, you don't know what the properties should be set to
at the time of instantiation so setting the properties later is the
only option.