Because iof the temperatures you carry welding out at. You are actually melting metals. At that temperature the oxygen from the air actually reacts with the Fe (iron) in the steel and also the carbon to make CO2 bubbles of gas and Ferrous oxide compounds which isn’t steel . So instead of having a nice smooth solid weld you end up having a bubbly porous lava looking weld if you don’t use a shield gas or flux (that is also an extremely weak weld). The shield gas puts argon around the melted metal, which keeps the oxygen away from the melted metal. Argon doesn’t react with anything so the metal can melt together smoothly and with no pores in the metal.
Because usually, it can cause oxidation in the pieces if they are not treated with caution. In my case, if you do not weld well and leave something badly welded it begins to rust and damage the pieces. If you want to know more I pass you the page of https://wisewelders.com/articles/welder-salary/ . You can view the page, this question and others that may arise in the future