Bitcoin wallets are lightweight pieces of software, and they do not usually store the entire blockchain. Thus, in order to keep track of a user’s balance and inform them of their transaction statuses, a Bitcoin wallet must query the blockchain.
Some wallets query central servers run by the wallet provider, but the best wallets allow users to connect their wallet to their own node. Using a wallet which queries their own node will protect a user’s privacy by avoiding sharing their addresses and transactions with a third party. Additionally, it enables users to use Bitcoin in a trustless manner.