You don't pay depreciation. On the main screen, click on "money", above your current bank number. It leads you to the cash-flow page. "Adjustments of items where a payment is not included" contains the "Depreciation" line.
Depreciation is, in accounting, a loss, but there is not cash-flow associated with it. Your cash-flow is your blood. With bought planes, you don't bleed. You may lack fresh cash to go on expanding, but you don't bleed. By leasing, you bleed.
In fact, both options are useful. Just, when you begin to swim in cash, it's better to own 100% of your fleet. I've got 16B$ in reserve in current GW3. All my planes are owned. Hint : the first 10 years, most of my planes were leased. Same for most successful players.