@DaleM isn't wrong, but some elaboration is in order.
You (almost always) gain your citizenship (or nationality) in the first instance, at birth, without the agreement or assent of you or your parents. It is thrust upon you.
Usually, your country of citizenship must consent to end your citizenship (or authorize you to do so unilaterally) under that country's laws.
Once you have citizenship or nationality, in practice, in most countries, you can generally only renounce your citizenship if you contemporaneously or already have a citizenship somewhere else. You are at a minimum strongly dissuaded from doing so and are not a sympathetic candidate for relief under laws related to statelessness if you willfully put yourself in this position knowing the consequences. This is a feature of the citizenship laws of most countries in order to implement international treaties designed to prevent statelessness which are widely adopted.
When an adult is naturalized as a citizen of a new country, usually, their old citizenship is revoked by operation of law under the laws of their old country.
In many countries, including the U.S., there are high fees and tax consequences for renouncing your citizenship. Any potential tax liabilities in the future that were not yet due under U.S. law (e.g. capital gains taxes an appreciated assets not yet sold, and estate taxes that would be due if the person renouncing their citizenship had died on that date) are owed immediately upon applying to renounce your citizenship.
A stateless person is, subject to quite narrow exceptions, still subject to all of the laws of the place where they are located, including almost all of its criminal laws (except treason) and its tax laws (at least on income earned in that country).
A stateless person lacks many rights. They can't travel internationally (there are exceptions under treaty in some cases, but obtaining those rights is cumbersome at a minimum). They can't vote. They typically aren't entitled to domestic welfare state benefits like national health insurance, disability payments, unemployment benefits, subsidized housing, old age or retirement benefits, etc. They can't work in a licensed or regulated profession. They may not even be able to sign a lease. They may not be allowed to own a company or serve as an officer or director of a company or as a trustee of a trust. They aren't entitled to diplomatic assistance.
There are many fraudulent legal movements such as the "sovereign citizen movement" (and the Moorish Sovereign Citizens) that assert that citizenship is voluntary and that just by disavowing it in some official feeling way, they can be exempt from taxes, court jurisdiction, and/or other laws. This is false and people who act on this fraudulent misinformation often suffer serious legal consequences as a result.