You lose some nutrients and such but in my short experience, you gain more. You don't necessarily need one as long as your husbrandry is in check, esp. with water changes. But I feel like it doesn't hurt much at all to have one. HTH
They remove dissolved organic compounds from the water. Nitrogen and phosphorus are among these and actively exporting them from the system greatly reduces problems with accumulation of excess nitrates, nuisance algaes and promotes calcification (ie. growth of hard corals and coralline algaes). Skimmers also generally increase gas exchange in the system which helps prevent excess CO2 build-up and can help stabilize pH levels.