I guess for the same reasons we make other personal decisions illegal, like suicide and the use of certain drugs.
C. S. Lewis once gave a metaphor. In a fleet of ships, if one fires on another, that of course is bad and should be illegal. But also if a ship's internal mechanisms are so bad that the ship careens into others, that is bad too.
Promiscuous sex spreads disease. Before the 1960s in the US, there were two main STDs, and both curable: syphilis and gonnorhea. After the '60s, it ballooned into a nationwide epidemic, and now we also have chlamydia, HIV, HPV (causes more deaths than HIV), and many others.
Another common-sense splash of water is to ask the question, "Would you want your child to grow up to be a prostitute?"
I don't see how the exploitation and abuse will end just by making it legal, either.