When you have bitcoins on a Coinbase or similar account, you don’t actually hold bitcoins in a technical sense. It’s like having a tech-savvy friend hold your bitcoins. Coinbase, or your friend, has the private keys to the bitcoins (actually to the UTXOs) you have deposited, and you trust them to eventually give you back your bitcoins by sending an equal amount of bitcoins (but probably not the same original UTXOs) to whichever address you specify.

Keeping your UTXOs in a wallet of your own is another thing entirely. You hold your own private keys and are responsible for keeping them secure.