Why we use Constructor in C#

[colrh]

I've taken this example from docs.Microsoft

public class Person
{
   private string last;
   private string first;

   public Person(string lastName, string firstName)
   {
      last = lastName;
      first = firstName;
   }

   // Remaining implementation of Person class.
}

Can't I initialize these data members at first place?
Then why using Constructor?