To expand on what mechatron said, the LED appears to the Arduino as a short circuit, since the resistance of an LED is nearly 0. The resistor and LED combination have some resistance, which, using Ohms law, allows you to calculate the current flowing through the LED and resistor. You need to size the resistor to limit the current to what the Arduino is capable of providing.
The LED by itself will draw an infinite amount of current, and damage the Arduino.