Because the purpose of law is to create a civilized society with non-violent resolution and prevention of conflicts over scarce resources. Law is a way to resolve those conflicts peacefully. (Not to be confused with law enforcement, which may or may not be peaceful. I.e., law simply determines whose claim over a scarce resource is right.) This has nothing to do with morality. It's just a mutual contract. Rules of a game called "society".* I realize that this party of my argument may be unconvincing to some religious Jews, but here's my question: do you think it's against Halacha to do business with those who don't keep Halacha or Mitzvos Bnei Noach? Presumably not. (Even though we may have an obligation to try to influence them.) Next: are you prepared to live in compete isolation from those people, not being a member of their society in any shape our form (including trading with those who trade with these people)? And finally: even though there is an opinion among some of our authorities (such as Rambam and Ramban) about vigilante justice and "righteous wars", do you think it's a feasible idea nowadays and a proper way to go?
(Of course, not taking others' property and not aggressing against them could be a part of one's morality and the reason why living in a lawful society might be preferred by him/her. But that is a meta-reason for having law - one of many possible - not the law itself.)
These rules allow for people with very different views of morality to form societies together. I think that eating pork is immoral for Jews because the Creator of pork asked them not to (as far as I know). But I don't think my view should be a law, since this would prevent me from living in a society with all those who think otherwise.*
The same with utilitarian morality. Presumably, a utilitarian thinks that if forcing two people to fight to death (or maiming) will entertain a crowd of thousands, they should be forced to do so, since this maximizes utility of the society. But such an act of force would not be law; it would be returning to Hobbsean jungle of might makes right, since it would not be a way of peaceful resolution of the conflict of the crowd vs. the two people over a scarce resource (their bodies).
So, only the actions that prevent us from forming a society can be prohibited by law: namely, aggression against each other and our respective properties. If "law" prohibits wearing blue shoes because doing so offends many people, such a rule is not law. It's just bullying of a minority by a majority. In fact, it's anti-law; it's a pocket of violence in possibly otherwise lawful society.
I.e., are you completely prepared to cut yourself off from the society of those who in your opinion live against Halacha?