I’ve done it, we’ve all done it. You know what I’m talking about. Yanking out a USB drive without safely disconnecting it first is what I’m talking about. Is it really a bad thing? Yes and No. When you connect a USB drive to a machine running windows, it allows reading and writing to the drive. Windows does a nifty little thing when writing data. It caches that data first in a buffer and then writes it when it has enough data or has a bit of idle time. That’s a bit simple in the explanation, but functionally it’s accurate enough.
Yanking out the drive can remove the connection before the cached data is written. That can be bad.
Another reason is that a usb device can have corrupted data if power is removed before it can fully write the blocks.