But, computers are millions times faster to do rest of the boring work, for example filling up a form in a html page and submit it. Humans probably needs 30 seconds to fill one, where a automated bot can submit several 1000 per second.
Now you setup a service that’s human consumable, but open to abuse by bots. Most popular example is register a new user in your site (bots will do so in massive scale, use them to spam and abandon them). This abuse will probably deny legitimate users a service, and hence your service will be under DoS (denial of service) attack.
A CAPTCHA will keep such automated bots away (at the cost of adding a few seconds to human annoyance), and hence improve the security of your service (prevents DoS/flooding by bots).