It's the least restrictive way to materialize ideas I have in my brain.
And sometimes even that is a bit restrictive and I just need to lay down on a couch, close my eyes and let my mind freely work on the design.
See everything else, that is more complex like Figma, Photoshop or even drawing on a tablet makes my brain go into rational mode. With everything I imagine in my mind I need to think about how to recreate it, and that interrupts the creativity flow.
It also forces me to be in more detail, which pen & paper restricts you from. In Figma I can already visualize if it's going to "work" (in the meaning of font size, etc).
And that's not what I want from the first step. In the first step, my goal is to just outline the elements, think about the whole UX and flow how will the app/web work. For example, should there be a popup or it should be the next screen. And I need to be able to draw this in 2 seconds. And that would not happen in Figma.
So I always start with pen & paper to let my mind be in a creative mode, the least restrictive one, thinking in high-level and abstract terms.
And when I think about this I designed our Welder the same way. The remote recording is made so simple to use that your brain can stay in the creative flow and with your guest, in being aware and doesn't have to jump to being in the thinking mode too much.