Welcome aboard.
It does depend where you live, but for the most part, when you create a photo, you own the copyright...and simply putting it on-line does not release those rights. However, many websites like Facebook and such, have sneaky terms in their user agreement (that thing that nobody reads when you click "I Agree"). They might have something along the lines of, 'they will have the right to use any photos posted onto their site'.
I don't think they do it maliciously, so that they can steal all of your photos, but they want to be able to promote themselves, and since your (and everyone's) content is their product, they want to use that content for their promotion. But, I think it is still a case of a very large company taking advantage of naive users.
Also consider that the rights to images are not just black or white (so to speak). They can be broken down into different usage and reproduction rights. So while you may allow a site to display an image for their own promotion, that doesn't necessarily mean that they can take that image and do whatever they want with it. Of course, it all comes down to the wording of the agreement....and they have a big team of lawyers working on their end....so they probably have their asses covered pretty well.
But the way I look at it...we shouldn't live our lives in fear of being taken advantage of. I just read a stat that said 200,000 photos are uploaded to Facebook, every minute....and that's just one site. There must be several million photos uploaded every minute, of every day....so to think that yours are the ones that will get 'stolen'...might be akin to not leaving your house because you're afraid a meteor will fall on you. Sure, it could happen, but you could be missing out if spend your life actively avoiding it.