Ambient spaces can always be defined in the sense that, by the Nash embedding theorem, every Riemannian manifold isometrically embeds into some Euclidean space. However, there is no guarantee that something you define in terms of a choice of embedding is independent of the choice of embedding, and mathematicians have found that it is cleaner to separate out what can be talked about without a choice of embedding vs. what can be talked about without such a choice.
In practice, one also comes across Riemannian manifolds which don't admit a _natural_ choice of embedding, so one is forced to choose one in some unnatural way if one does everything in terms of embeddings. Examples include quotients by a group action.