Reinforcing what Brad said, the co-axial cable is used to add distance between the signal source and the antenna that will radiate it. In many instances, the source (transmitter) and antenna cannot be physically next to each other so the cable carries the signal to a more suitable place for the antenna. A perfect co-ax cable would have no losses, what goes in at one end all comes out at the other end, however in real life nothing is perfect and that includes cables, some signal will be lost in the dielectric (insulating layer) between the center wire and the shield and some will escape through imperfections in the shield and its geometry.
Think of the cable as a bridge between the source and antenna but by design, not good at radiating a signal by itself.
If you think of it in receiving terms where the same rules apply, you wouldn't want to sit on your roof to watch TV because the antenna had to be plugged directly into it. A co-axial cable links the antenna to the TV so it can be watched in comfort.
Brian.