Hard to say, pillows would naturally be something that arises in this world as it is because of their utility/the need for them. So, if they didn't exist, the world would have to have been different in such a way that they wouldn't naturally arise. And there are endless possibilities for how it could possibly be different, and the hypothetical doesn't narrow it down at all.

But besides that, just not thinking about all the indirect implications, I think if there were no pillows, umm...there would be no pillow fights, and pillow fights aren't that common irl afaik, but the idea of them is iconic as a way of fighting without violence, just being silly, which is important in the world as an anti-violence staple. Also, people might have a lot of neck problems from sleeping without their heads being propped up. I don't know if that causes neck problems or not. It seems like it would be uncomfortable. I think I've done it before, it wasn't that great.