When your phone isn’t connected to wifi, it connects to your cellular provider. That network provides a data connection for you to connect to the internet just like your modem at home connects to your internet service provider to provide data.
So instead of connecting to wifi, the phone is connecting to your cellular provider. If you had a laptop with a SIM card slot, you could add a data only SIM card to it (depending on your carrier) that would give you this same experience of having internet without wifi.
Just like wifi and Ethernet at home, cellular is just another method of connecting.
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