I've been wondering a long time about this and I can't come up with an answer.
The short answer that many political philosophers (such as Thomas Hobbes, John Locke, John Rawls) have offered is that we are all far better off in a civil society structured by basic institutions (legal, economic, political) that constitute the government than we would be if we were left on our own. Hobbes and Locke called the condition in which man does not live under a government the State of Nature. Both believed that living in the State of Nature was far more uncomfortable and dangerous than living under a government. In fact, Hobbes famously wrote (in his Leviathan) that life in the State of Nature would be "solitary, poor, nasty, brutish and short".