andvary,
No, you're not doing anything wrong. I've found if I get a good clean burn to the bottom of the bowl, I can usually just turn over the pipe and dump the ash right out. However, depending upon the cut of tobacco, some ash falls out easier than others. A knocker is just a convenient accessory when used with an ash tray if you have some residual ash clinging inside of the bowl that you want to "knock" out or perhaps you were smoking a tobacco that was a little too wet or you over packed it and you had trouble lighting and decide to dump it. When smoking outdoors, especially with my cobs, I find the heel of my boot works just as well or tapping it against a neighboring tree or tree stump serves the purpose as well.