I suspect the Hollywood image of the hero throwing a knife that imbeds to the grip right in the center of the bad guy’s chest, resulting in an instant, silent, and bloodless death, is a myth.
If a thrown knife hits with the point on bare skin or a light shirt, even if it does not stick it is going to rip open a wound. Ouch, that. If it does not hit with the point it can still injure and distract, which can also be useful.
If a knife can be thrown hard enough to stick into a board or a log or a sheet of 1/4 inch plywood, that same throw would really injure if it hit a person. A throw like that is unlikely to sink deeper than maybe 1/4 inch into the wood, but would go deeper into flesh. The amount of real damage would depend on the body part struck, whether there is an organ or a main vein or artery, etc, but it’s gonna hurt and bleed and tear open wounds that I suspect would cause most people to re-think the whole engagement, even if not life-threatening.
Yes, people do wear heavy jackets in some places, at some times of the year. So like most things, it depends. A throwing knife may be pretty pointless in some places, at some times, under some circumstances. Nobody claimed it is a perfect tool for every situation.