When you lose your device that has Authy installed, you can use SMS to recover it and/or as a temporary 2FA method. Otherwise, you just use the app.
This is precisely one of the reasons why some people aren't comfortable with using Authy. As far as I know(correct me if I'm wrong), if someone managed to do a sim swap hence gaining access to your mobile number, the hacker could then gain access to your Authy 2FA codes. Right?