Chiral Anomaly already has a nice answer, but to elaborate on his answer: There are always this tug of war between physicist's and mathematician's way of expressing things. A mathematician would (rightfully) express things in a way that is independent of any coordinate patch on a manifold.
For example, you would read statements like "Let $\omega$ be a section of the cotangent bundle" (i.e. a one form) which doesn't refer to any coordinate patches on the manifold and is a globally defined coordinate system. Though this approach is formally favourable. E.g. otherwise when you are proving something, you would always (very annoyingly) have to show that the thing that you proved doesn't depend on the coordinate chart that you have chosen.
However, this approach is not very favorable for computations, which physicists are more interested in. That's why physicists almost always describe things in local coordinates, so e.g. you would read statements like "The covector $\omega_\mu$ is given as $\omega_\mu = x \, \mathrm d y$. The problem with this approach is choosing different coordinate patches (s. above). The same object that you call a covector $\omega_\mu$ "looks different" in different coordinate patches. To remedy this, physicists have "transformation rules" so that the object $\omega_\mu$ which is strictly speaking defined on a coordinate patch is globally defined.
Note also that the story is very analogous to usual vectors in a vector space. A vector $v=(1,1) \in \mathbb R^2$ can be expressed in standard basis as
$$ v = v^i e_i = 1 e_1 + 1 e_2 \implies v^i = \begin{pmatrix} 1 \\ 1 \end{pmatrix}$$
however if you choose another basis e.g. $b_1 = (1,1)$ and $b_2 = (1,-1)$ the same vector $v$ can be expressed as
$$ v = \tilde v^i b_i = 1 b_1 + 0 b_2 \implies \tilde v^i= \begin{pmatrix} 1 \\ 0 \end{pmatrix}$$
The vector $v$ is still the same thing and has not transformed. However, its components $v^i$ transforms from a given basis to another.
The upshot is the following: The global object $\omega$ as a covector field does not transform and in particular it does not transform as a scalar since this language of "transformation rules" doesn't make sense on this global level. However, if you express $\omega$ in a coordinate patch as $\omega = \omega_\mu \mathrm d x^\mu$, then the components $\omega_\mu$ "transform as a covector" when you switch coordinates.