A leaf on a pine tree serves the same purpose as a leaf on any other plant; it is specifically adapted to be a photosynthetic organ. That's the short answer.
If you want to go more in depth... Pine leaves, or needles, are well adapted to avoid herbivory (being eaten by animals) because they are thick, tough, sharp, and contain a distasteful resin.
Also, pines are, of course, evergreen (they do not shed all their leaves at one time at the end of the growing season.) Because of this tough, hardy leaf structure, the tree needs to use more energy to make a needle leaf than a broad leaf plant would use. The fact that the pine leaves are evergreen means that they don't need to waste energy replacing every leaf ever year. Furthermore, some of them live in areas that have short growing seasons (the high latitudes) where they can't afford to waste energy replacing every leaf every year. Evergreen leaves are adventageous here because the tree can hold on to them and photosynthesize all year long.
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