I know that capturing a near object and capturing the same object with going apart with zoom makes a lot of sense But I'm confused what change does it do to the picture??
Could anyone help me in this??
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The best way to find out is to actually go out and give it a go.
There are differences, both in quality (zoom lenses are not equally sharp in their whole range, so zooming in can result in a worse image quality) and in background compression. Also if you would want to use a prime lens, those are usually sharper and less expensive. Either way, ultimately it's up to you what you prefer.
I think this article shows the difference quite well: How to use Focal Length and Background Compression to Enhance Your Photos
One way to explain this is with a picture - a 4 second clip from a movie, in fact.
Alfred Hitchcock pretty much invented this technique, but he used it in a hallway which makes it harder to see quite what's going on.
This shot from the movie Jaws uses the same trick - known as a dolly zoom - but in such a way as you can see how it works.
The shot starts with the camera a good distance from the subject, zoomed, & then it is moved towards the subject & the lens is widened as the camera moves - the 'neat trick' of this in a movie is you do both at the same time - move the camera & the zoom, so the subject stays approximately the same size in the frame, but the background appears to expand behind them.
By the end of the shot, you have a wide angle lens with a close subject.
Large distance to subject, zoom lens - compresses the background. Makes things look 'flat'.
Short distance to subject, wide lens - expands the background; for portraits has the unfortunate side effect of making a face distorted - big nose, little ears [one reason most selfies look so bad]
A simple explanation is that zooming in a lens is practically cropping an image as it is captured.
Physically moving in relation to the subject always changes the perspective no matter what lense you are using. The common statement that certain lenses are fit for this and that has the notion that using a certain lens "forces" you to have the appropriate perspective when you have all you need in the frame.
I've gone into a little more detail on this in another answer: https://photo.stackexchange.com/a/83868/31714