It looks like having COVID can increase your risk of future illness in three separate ways: causing autoimmunity (where your immune system gets confused and starts attacking your own tissues), decreased immune response to infectious agents (where your immune system fails to recognize and fight off other viruses, bacteria, fungi, etc), and directly attacking and damaging parts of the body that lead to malfunction, e.g. diabetes, POTS.
Additionally, there is some evidence that active COVID infection can hide in the body and persist much longer than either PCR or antigen test reveal.