This question reads a bit to me like someone asking, “Why do trapeze artists perform above nets? If they were good at what they did they shouldn’t fall off and need to be caught.”
Do you really need a firewall? Well, are you intimately familiar with every smidgeon of software on your machine, not just userland ones but also system ones, and you understand perfectly under which and only which circumstances any of them open any ports, and have declared that only the specific ports you want open actually are at every moment in time? Yes? You’re that much of a sysadmin god? Then no, I guess you don’t need a firewall.
If instead you happen to be mortal like the rest of us who don’t read and internalize the behaviors of every piddly program that runs or will ever possibly run on our systems, you can always do what we do for every other problem that is too intensive to do manually: script that shit. Tell the computer explicitly which ports it can and cannot open.
Luckily, you don’t even have to start from scratch with a solution like that. There are prefab programs that are ready to do this for you. They’re called firewalls.