If you were to withdraw all your money from the market, you would have to pay taxes on the money (unless it is a Roth IRA).
Besides being a bad idea in the long term, it costs a lot of money.
But tax-loss harvesting could let you offset losses.
So, it could be that you are losing money on some investment. On another investment you have made money and would be liable for capital gains tax.
But a good accountant and investment advisor might be able to use the losses to offset capital gains taxes.
It could be one way to rebalance your portfolio.
The strategy isn't for amateurs, since it can run afoul of multiple tax rules.