Does coming off antidepressants cause you to lose it's benefits? Will you gain your anxiety or depression back? If so, why do we take them?

It can happen. But not in everyone. Weaning off is an individual decision based upon your psych history, symptoms, family history, etc. If you have trouble weaning off, it's probably not a good idea, but many patients who have resolution of their symptoms are able to do so. Patients begin the meds because their illness is impairing their social/occupational functioning.
Getting off psych. meds. You need to learn strategies to cope w/anxiety or depression or the symptoms can flare again. Cognitive therapy is one way. See "Feeing Good" by David Burns for some self-help. Peace and good health. In Chinese medicine we say "Treat the root, not only the branch."
Yes. Psychotropic medications help reduce psychological symptoms. They do not fix the problems that are causing the symptoms. Ideally, people who need meds also work with a mental health professional to learn how to deal with the issues causing the symptoms. Doing so can reduce or eliminate the need for meds. In those cases, people are better able to handle emotions on their own.