Most domain name registrars will host some DNS records for you.
Unless you make a lot of changes to the records and want to use your own control panel, custom scripts or hand editing of configuration files you are better off using your registrar's DNS servers and hosting the records there.
Your host likely defaults to having you use their name servers so their control panel can be used to manage your DNS records. If you use your registrar's instead then you would manage the entries using the control panel provided by the registrar.