EXIF is a set of fields stored inside many photo files. It can include the device, capture time, camera settings, orientation and sometimes the location where the photo was taken.
Why people remove it
Most of these fields are invisible when you look at the image. They can still travel with the original file when it is emailed, uploaded or placed in a public folder.
Make a copy first
Keep the original, clean a copy with whyaiai and read the before-and-after report. This separates the file you share from the file you keep as your source.