When you hold your bitcoin on an exchange or any other third party, you are trusting that party to always be there, enabling you to withdraw your bitcoin.
But what if that party gets hacked? Or pulls an exit scam? Or decides you can no longer withdraw your bitcoin?
This is why Bitcoiners advocate for self custody.
Holding your own private keys (i.e. your bitcoin in your own wallet) can be daunting.
Learn. Start small. Start slow. And work your way up. The Bitcoin rabbit hole is deep and wide but the journey is rewarding.