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?
Authy has an extra protection feature when you swap devices or sim card, to prevent this exact issue.