Firewalls have been a stalwart of enterprise network security since the late 1980's. The technology has evolved considerably in the ensuing decades, though the basic premise has remained the same - create a barrier or safeguard between internal networks and external networks. The term "network" is the operative term here - a firewall is only useful when traffic actually flows through it. That's true whether the firewall takes the form of a physical appliance or a virtual appliance.
So what happens when a user on their personal mobile device connects from a home network to Office 365 or Salesforce? That increasingly common cloud-to-mobile traffic goes direct, bypassing the firewall, and any of the myriad of other security solutions layered behind the firewall.