Because the experience of being physically vibrated by the compression waves in the air is amazingly sublime. There's a reason people don't start dancing until you hit a certain volume level.
Because you don't have control over how loud a band is playing at a live festival. So you can either complain about something you can't change, decide to not attend an event you want to attend, or do what you can to fix the problem.
I wear musician-quality earplugs.