We think they’re vestigial tails. Way back when, our long-ago mammal ancestors had actual tails, their descendants had shorter tails, their descendants had little stubby tails, and we have this not-even-a-tail-anymore thing.
A tail is helpful for keeping you balanced when you walk on all fours, or crouched, but at some point our hominid ancestors started walking upright and once we had a frame that balanced decently in an upright stance, there wasn’t a point to the tail anymore. You save a bit of mineral and protein and energy if you don’t grow a useless tail, so over generations we’ve stopped growing them.
I haven’t seen this, but apparently snakes have a bone structure that kind of looks like a pelvis, from back when their ancestors still had legs. Same idea. Used to do something, in the modern animals it doesn’t anymore but the structure still hasn’t totally disappeared. Over time, it might.
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