Reasons for choosing a hardware wallet

Hi, all.

I am pretty new to bitcoin, and I have been wondering whether it's actually better to have a hardware wallet (as people have told me). Sure, it doesn't depend on a site that can be hacked or whatever. At the same time, there's actually a chance of physically losing the sole thing that keeps your bitcoin. Or to get it stolen. To me it seems the chances of this are bigger than something happening to a digital wallet like Exodus, for example.

What are your thoughts?