You use the risk-free rate to estimate your discount rate when using the CAPM. Is there really a Risk-Free Rate?
The risk-free rate is the rate that an investor would receive on a risk-free asset. Although there is, theoretically, no perfectly risk-free asset, we use the US treasury as a proxy for a risk-free asset because we assume that it is the closest to a risk-free asset. We believe that it is the closest to a risk-free asset because it presides over the largest economy in the world and so hopefully, will not default on its obligations.
The risk-free rate is the minimum return an investor would need on an investment. Given that investments carry risk, he would not invest in a risky asset unless he gets a return higher than the risk-free asset. So, the risk-free asset becomes the starting point to estimate his expected return.