The wire will crush over time and the connection will become looser. That will increase the resistance of the connection and in high current applications will cause heating. If you're really unlucky it will cause a fire.

Ferrules often have insulating shells around the base which are good strain relief.

Ferrules also evenly distribute the clamping force and prevent crushing of the strands.

Ferrules solve the problem of having to align the threads every time you re-post them in a terminal block.