I can't answer why it has to be oxygen, but the oxygen is used in the final step to keep your cells fed.

There is a molecule called ATP (adenosine triphosphate, for those of you over 5) that is what your cells run on, and your body produces it from sugar (glucose) and oxygen. That is the entire reason you need to breath, to bring in oxygen for the ATP cycle.

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See here for details

https://bio.libretexts.org/Bookshelves/Introductory_and_General_Biology/Book%3A_Introductory_Biology_(CK-12)/02%3A_Cell_Biology/2.31%3A_Anaerobic_and_Aerobic_Respiration#:~:text=Why%20oxygen%3F,many%20more%20ATP%20are%20made.

https://www.thoughtco.com/aerobic-vs-anaerobic-processes-1224566