Does it mean that anyone can copy my database file and open it on their own server?
Yes, as long as it's the same version of SQL Server. This is why it's critical to maintain control of a server running SQL Server and prevent unauthorized access to the file system or backups.
So I want to understand why is it so?
The same software uses the same format. Much like how an Excel document can be saved on one computer and opened on another, so, too, can a database. By default, SQL Server stores data in the easiest and most straightforward manner it can for best possible performance. Security of the data files is often a secondary concern as most SQL Servers physically reside behind locked doors and OS access is restricted to computer administrators with domain authentication.
If you're running SQL Server 2008+ Enterprise, you have access to Transparent Data Encryption which will encrypt the data files on disk. That doesn't prevent moving the database if you have full access to the original host system, but it does mean there are additional steps and it will be difficult to access the data by directly reading the data from the disk. Furthermore, you can also encrypt your backups (I believe SQL Server Standard and above supports this, I'm not sure about Express).
As far as Express LocalDB... your options are pretty limited. You can use NTFS level encryption, but that will impact performance as the DB engine is no longer aware that encryption is going on. Furthermore, anybody who can access the DB unencrypted would be able to access the DB files to copy, so you're not actually protected against inside attacks. You could also use BitLocker full disk encryption, but again, that will come with some I/O cost and, again, doesn't protect against inside attacks.
Finally, no matter what you do anybody with sa
or dbo
level access to the server will be able to read your data. You can choose to store only encrypted data in the DB, but that pretty much eliminates any advantage of using SQL, and your application would still need to store the means to decrypt it somewhere, which means someone could find your decryption key and work backwards from there.