Say that a co-worker writes a VLOOKUP to a closed workbook and refers to $A$1:$S$99,19 to grab a value from column S. The co-worker sends you the linking workbook but not the linked workbook. Perhaps there is some confidential information in columns B through R of that workbook.
Everyone involved might be initially surprised that you can take the linking workbook to a new computer, without access to the closed workbook on the original computer, and drag out the entire table stored in A1:S99 of the closed workbook, including the confidential bits.
I will admit I was initially surprised, but I guess I shouldn't be surprised. Everyone should be aware of this, and think before you set up wide VLOOKUPs to closed workbooks.