I'm pretty sure the only purpose of the artifacts is for selling. I was reading the collectibles guide on IGN and it says they are a good way to make money without giving any reason not to sell them. I'm sure they would have said something if there was any reason to hold onto them. Since none of the trophies in the game can be missed you shouldn't need to hold onto them for anything important.
EDIT: I just noticed that I'd you read the desceiption for any of the artifacts it says that there is no reason to hold onto them.