As mentioned, they are a substrate for bacterial growth and these bacteria convert ammonia to nitrite and ultimately nitrate. You WANT this to happen, and you want this bacteria.
Nitrate "problems" meaning higher nitrate levels are also not causes by biowheels. Nitrate problems are caused by overstocking, overfeeding, and not enough export (water changes, refugium, skimmer). In short, people cause nitrate problems, not biowheels.