Redis is a NoSQL (not RDBMS), an in-memory dataset, using cache. It is designed to improve the performance to read/write data. It holds the data in memory directly.
For database that is not in-memory dataset and relational database, it would need to make query to retrieve the data then load to memory. This increase the data access latency, and thus giving impact on the performance.
Application that uses Redis could have a mechanism to write the data to persistent storage periodically. In the case of system restart, the application will reconstruct the data to memory again.
Some articles for further read.