Taken directly from their documentation:
The Wolfram System provides important functionality through accessing the internet. Most Wolfram Language functions that provide computable data operate by loading data over the internet. Some functions require real-time access to the internet; others update a local data repository by accessing the internet when required. The Wolfram Language also requires internet access when you explicitly use Import to read from a URL, or when you use web services. The Wolfram Language documentation system also supports automatic updating via the internet.
Reference: http://reference.wolfram.com/language/tutorial/InternetConnectivity.html