The king, parading in his stately manner, can move only one square at a time. If he wasn't protected by in his fortress by knights riding their chargers, rooks with their heavy artillery, bishops pontificating that everything is either black or white, and an platoon of infantry willing to lay down their lives for him, he'd lose his head tout suite. He's so timid he even hides behind his queen, who is the real power in the realm.
He's very much like the Duke of Plaza Toro:
"In enterprise of martial kind when there was any fighting,
he led his regiment from behind, he found it less exciting..."
And yet, when the armies are decimated, when his officers and other ranks have shed their blood on the field of battle, he becomes very strong indeed.
That's why we protect him: to preserve his strength for the end game.