It's not as ignorant a question as it may seem.
The connection of any plug with the receptacle isn't likely to be nearly as sure as the connection made in a properly use wire-nut.
Pull the plug out just a little, and there's even less contact area ... which leads to heating, which may start a fire, etc.
More important, perhaps, is that most extension cords are a lot thinner wire than what is used in the walls. Overload the wire, and the wire itself gets hot.
I'm sure you've removed plugs that felt warm, even hot. Not only is the cord overloaded, but the connections inside the plug probably aren't very good.
Finally, a cord is out there to get tripped over, stepped on, squashed ... and might very well be damaged. That damage can then cerate additional risks.
