Because space is what determines your composition. What you choose to include or choose to omit affects the final image.
One simple example is the sky in landscape photographs. If we slavishly follow the "rule of thirds" we end up with 2/3 land and 1/3 sky or vice versa. This is mainly to prevent an often boring and "static" horizon line in the middle of the picture. But you don't need to stick to this so-called rule. What if the sky is really dramatic and the landscape is boring? Or the sky is grey? In these cases we can make the sky the subject and include more of it or ignore the sky completely.
Another example is a photo which consists mainly of vertical elements such as people or trees. If you photograph in landscape mode you will probably end up with unwanted or boring chunks of space on either side of the frame. Simply shooting in portrait mode reduces these unwanted elements to a minimum.
Look for what is the main subject in your photo. If you want to show it in it's environment, then it needs to be smaller in the frame than isolating it from its environment. This involves a selection of space.
Remember too that a photograph has a frame and that the spaces within a frame are constrained by and relate to the shape of the frame. If you want to change that, then think about a frame within a frame, e.g a person framed by an arch or a doorway.
Space is important, use it wisely for better composition.