Explanation

Sometimes a capture is the only way to defend against a threat.

Examples

Black just played Bd3, skewering White's queen and rook.
The only way to defend against the skewer is to capture the attacking piece with Nxd3.

Black is the exchange and a pawn up, but White just played Rb8, skewering Black's queen and rook.
There is no safe square for the queen from where it can protect the rook on e8.
Black has to give back some material with Qxb8 Bxb8 Rxb8.
After Qxd7, Black has two rooks for the queen in the endgame.

White just played Rd4, forking Black's queen and knight.
The only way not to lose material is to play Qxd4, using the pin on the e-file.
After White recaptures with Bxd4, Black can restore material equality with Rxe2 Nxe2.