What happens is when you the relay coil gets voltage some power is stored magnetically and it releases that power out very fast once the coil gets no voltage.
What happens is that power is release several times larger in a very short amount of time. From a test I did in school I could see that a 9V battery powering up a coil had a back EMF of like 110V. If you don't use the protection diode that 110V for a fraction of a sec can fry your microcontroller.