A side project is not necessarily a project you develop while also working. It can be any self-driven project outside your regular study routine. It’s a way for you to apply and develop your skills.
And the best part of it is that you’re not doing individual, out-of-context, made-up exercises just to practice some skill. You are creating solutions as a whole. You are solving problems similar to those in a real project, similar to what you may be working on in the future.
I can go on and on about the benefits a side project can have on your career, especially in the early stages. A great deal of the software community understands this quite well already, especially the audience of Simple Programmer.