Many crypto exchanges will store your keys for you. To keep your keys and your investment truly safe and secure, however, you need a crypto wallet.
Your keys are simply more vulnerable if you store them outside a wallet. You also don’t have control over them yourself. That’s why you’ll hear the phrase “not your keys, not your coins.”
If you trust a third party with your keys, you’re essentially trusting them with your money. Even if you use a reputable site, there’s no need to give someone else control if you don’t have to.
Keeping your keys in a wallet doesn’t mean there’s zero danger, but it reduces risk.