Tourists can visit the Schengen area without being sponsored. However, there are a few things which might have caused the misconception.
A business traveler would have to explain where he or she is going. That's not the sponsor, it is the destination for the trip.
A tourist who cannot afford the travel out of her or his own income needs to explain who pays and why. That's not the sponsor, it is the source of money for the trip. Often the person who pays is not in the Schengen area.
In some cases, a sponsor can help to get a Schengen visa that would otherwise be refused. Such a sponsor would come from the Schengen state that is to be visited. This is not necessary if the traveler has stable economic circumstances and strong ties to the home country.