Because everything on your phone is a copy of the iTunes library. When (and probably not if) you need to Restore your iPhone all the content is removed from the phone. Only what is in the Library gets put back onto your phone.
iTunes is also the tool for managing your iPhone and iPod. Despite the availability of over-the-air downloading, iTunes is still the better way to manage iDevices.
iTunes is your phone's backup for Apps, music, podcasts Playlists, etc.
But not that phone call from last week!