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Citing the sources you use in your research is about giving credit where credit is due. It helps people reading your work to understand where the ideas or facts you're sharing came from, it helps the authors of the sources you cite to direct attention back to their work, and it helps you to look like a responsible, thorough researcher.
Failure to give credit where credit is due is plagiarism, which is part of academic misconduct, and considered theft. For more on what constitutes plagiarism and its consequences, see the CCSU Academic Integrity webpage. And don't worry--if you're concerned about citing properly, there are any number of ways you can check your work before you submit a paper.