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Why "exit" is needed after wp_redirect?

This is probably a PHP question, but since I encountered in on a wordpress documentation page, maybe I will get better answers here.

On https://developer.wordpress.org/reference/functions/wp_redirect/ it says

Note: wp_redirect() does not exit automatically, and should almost
always be followed by a call to exit;

I don’t quite understand what will really happen here if exit is omitted here.

PHP’s doc says exit is to "terminate the current script". So I assume if wp_redirect is called in function.php, the exit following it would stop the rest part of function.php from running, am I right? But why would I want that?