Their main purpose is to help keep dust and dirt out of the valve. Even that may not sound like a particularly glamorous job, but if particles get jammed in the sealing surfaces, your tubes will develop a leak. They can even get clogged enough to not allow a proper connection with your pump.
A dirty valve degrades and loses air much faster. If you’ve ever had a tube with a slow leak, that seems to hold air initially but loses pressure rather quickly, it’s most likely a leaky valve. Once the valve is compromised, there’s nothing you can do but replace the whole tube.
So keep track of those valve caps, especially if you ride in bad conditions, all weather, or off-road. You could even give your bike a personal touch with novelty valve caps