No one says that you have to explicitly plug it in to whatever you're playing on.
You do if you want it to connect to the thing you're playing on.
Unless you're ok with a shitty Bluetooth connection. But I'm guessing few people comparatively are using that, at least as their primary use case.
You can't tell me playing with a Bluetooth controller doesn't actually hurt you. The constant latency is excruciating.
Then again, I use it for mostly real time- based games.
If you're playing something like Balatro it probably doesn't matter. But for almost everything else it sure does.