When you take your vehicle in for a professional oil change service, the cost of replacing the oil filter is included in the cost of the service.
The oil filter should always be replaced during each oil change. Replacing the oil but not the old filter can mean that any dirt or debris picked up by the oil as it circulates through the engine will not be filtered out. This would lead to a need for an oil change much sooner than usually necessary.
So, that is why changing the oil filter is included in a full-service oil change. The combination of fresh, clean oil and a new, clean oil filter helps ensure that your engine is as protected as possible.