I've had a sponsor since day one. I can't imagine not having a sponsor. A sponsor isn't a therapist or professional counselor. Sponsors are drunks just like me, the difference is they've got more experience in AA, at least in most cases. My sponsor today has less time than I do but I like the program he works and he's more of a friend and confidant than anything else.
When I read the title to this thread, I asked myself "why would anyone not want to keep the sponsor they worked the steps with?" I can see under certain conditions maybe changing sponsor as I have, but to not have a sponsor at all just isn't in my playbook.