If you store the keys digitally, for example, whoever has access to your files can get the key.
Discussion
What if we can't afford these cold storages?I thought they say Bitcoin Core is the safest wallet?
Physically?
Yes. Though it is much more likely to accidentally paste a private key instead of an address into a block explorer.
But you can have multiple private keys?
There's the so-called master private key, which gives you access to all your bitcoin addresses and there is one private key per address, which only controls this one address.
Are these master private key the 24 word phrases?
In essence: Kind of.