Short: First-order logic does not permit infinitely long statements. Infinitary logics do.
To elaborate a little on Danul G's answer: If you can write a finite-length prescription for how to select each element from a collection, then you do not need choice. If, however, you would need an infinite-length prescription, then your prescription would be invalid.
Hagen von Eitzen has provided an example of a finite prescription that selects a single element from each of a collection of copies of a set containing an element "42".
Part of the difference is that we are on a "first name basis" with every element of $\mathbb{R}$. (Actually, we aren't. We could only say that for the computables, and I at least, only know some thin subset of even this much smaller set.) We can easily call them out by name and each disjoint pair of them is obviously distinguishable. (Even this requires a caveat -- the problem of identifying computable expressions equivalent to zero is undecidable. Meh.) In this sense, the real numbers are a collection of shoes -- distinguishable elements.
Suppose instead I gave you a product of "an infinite collection of sets (about which I will tell you nothing other than they are each not empty)". Then you don't know any of the elements by name -- they are all indistinguishable, like socks (before you wear them and asymmetrically stretch them). You can't write a prescription (finite or otherwise) that picks out an element of each set. You can write the natural language sentence "$f$ picks out an element of each set", but in formalizing that description you will not find a finite prescription. You will get "$f$ picks an element from the first set, then $f$ picks an element from the second set, ..." where "..." entails an infinitely long prescription. First order logic (and any other finitary logic) does not permit infinitely long statements. Unless we add an axiom that says we can. The Axiom of Choice allows this for exactly the construction we are discussing, but does not (directly) introduce any other infinitary constructions.