When a computer is running, it often is reading g data from and writing data to the hard drive. This process isn’t instantaneous, it can take a bit of time to happen. If you unplug a hard drive while data is being written to it in any way, that data will become corrupted and unreadable. If it’s something important like a system file or a file you need, that can be really bad.

Shutting down a computer properly or hitting the “eject flash drive” button always ensures that these readwrite operations finish what they are doing and come to a stoping point where you can unplug the hard drive with no risk of this happening.

Even if you aren’t saving something actively, the operating system does a lot of miscellaneous readwrite operations for all kinds of reasons almost constantly. You never really know when they are happening, so it’s best to be safe with that.

This is also the same reason why unplugging a computer without shutting it down properly is bad. It can corrupt data that is part way through being written to the hard drive.