This one was debunked three decades ago by Harold McGee, author of On Food and Cooking : The Science and Lore of the Kitchen and the godfather of food mythbusting, but it still gets a regular airing.
The idea, started in the 19th century and promoted by the likes of Escoffier, was that searing meat creates a seal that keeps in the juices.
As McGee revealed, searing causes more juices to escape, because it exposes the meat to higher temperatures.
What searing does accomplish, however, is a tasty layer of flavour due to the Maillard Reaction. You should still sear meat. It makes it tastier, albeit not juicier.
Heston Blumenthal recommends cooking steak in a smoking-hot pan and turning it every 15 to 20 seconds to get maximum crust.