Any malware that manages to get past your defences will have free reign to connect to the internet to either download more of the same, pass your personal data (sensitive or otherwise, user names, passwords, keylogger retrieved data, etc.) or open a backdoor to your computer, so outbound protection is essential.
You wouldn't call a door that only protected you from fire on one side a firedoor would you, I wouldn't, I think the same of firewalls.
