This may be one of the most common things that trip up beginners to C.
In C there are two different steps to building a program, compilation and linking. For the purposes of your question, these steps connect your code to two different types of files, headers and libraries.
The #include <pthread.h> directive in your C code is handled by the compiler. The compiler (actually preprocessor) literally pastes in the contents of pthread.h into your code before turning your C file into an object file.
pthread.h is a header file, not a library. It contains a list of the functions that you can expect to find in the library, what arguments they take and what they return. A header can exist without a library and vice-versa. The header is a text file, often found in /usr/include on Unix-derived systems. You can open it just like any C file to read the contents.
The command line gcc -lpthread test.c does both compilation and linking. In the old days, you would first do something like cc test.c, then ld -lpthread test.o. As you can see, -lpthread is actually an option to the linker.
The linker does not know anything about text files like C code or headers. It only works with compiled object files and existing libraries. The -l flag tells it which libraries to look in to find the functions you are using.