It's to add both security and privacy. Security in the unlikely event that quantum computing enables deriving the private key from a public key (ie. your address) after it has been used at least once (ie. to send a transaction), privacy to make it harder to track the balances of a specific user. The privacy aspect is only marginal though, since analysis of regular Bitcoin transactions has been proven to be a viable way to link addresses to wallets, hence Bitcoin being pseudonymous, not anonymous.
Change addresses are also the reason why deterministic wallets (ie. ones based on a seed) are recommended over non-deterministic ones. With non-deterministic wallets it is recommended to make regular backups of your wallet file whenever you have sent a transaction. I remember Bitcoin Core being one of the wallets that use a non-deterministic address derivation scheme, not sure if that's still the case though.
Many thanks for your explanation. So to surely not get tracked is the best to use a mixer, right?
Correct. This is one of the reasons why Bitcoin mixers entered the market in the first place.
You could also try to jump between alt coins; but this is rather bothersome, may cost you in terms of alt coin volatility and may still be traceable across chains due to the temporal sequence of similar-sized transactions.
Alternatively you could look into privacy focused alt coins such as XMR, which comes with built-in mixing properties, but is currently more volatile than BTC and not as widely accepted, meaning you will likely have to go through an exchange at one point of your transaction. Additionally some privacy focused alts may still be broken at one point in the future.
So in the end mixers are probably the most convenient and safest way to retain your privacy, unless you plan to go long on XMR and have places to spend it at.