It gives Apple (and record companies) complete control over what we can listen to
Proponents of removing the headphone jack argue that it's good news for audiophiles, since a digital connection like Lightning can make a significant improvement to audio quality. However, whereas an old-school analog output (like the headphone jack) lets you plug and play whatever you want, a digital-only corded output means Apple is ultimately in full control over what can and cannot be played through it.
The theory goes that Apple's ulterior motive could be to control the media you consume via digital rights management schemes, intentionally restricting the use of copyrighted music and material to proprietary hardware. As Nilay Patel of The Verge points out, Apple Music is a streaming service already rife with DRM restrictions. It would be fairly easy to extend those restrictions in such a way that users would only be allowed to stream music via Apple-approved speakers, headphones, and devices.