Because it creates collective action problems. Countries can exercise their sovereign powers to control commerce and the flow of people so as to reinforce their chosen social welfare systems. If they offer universal healthcare, for example, they can control immigration to manage the burden on their system (and keep out people who only move in when they get sick or to retire). U.S. states are precluded by the Constitution from doing that. Say Marylanders decide to pay higher taxes to support generous social services, and Virginians decide to stick to lower taxes and no service. There is nothing Maryland can do about free-loading Virginians who cross the border as soon as they get sick.[1] Likewise, say Virginia decides to reintroduce child labor, which gives Virginia a competitive advantage in producing cheap consumer goods. There is nothing Maryland can do to stop the flow of trinkets from Virginia undermining good Maryland companies whose prices are higher because they don't use child labor.
It's helpful to view the Constitution's Commerce Clause and Privileges and Immunities Clause as a two-pronged economic construct. One prong says that the U.S. is a totally free market internally for goods and labor. The other says that the federal government can intervene to address any collective problem actions that creates. To the extent that the provision of social services has knock-on economic effects (and it has major knock-on effects), it comports with the Constitution's design for those things to get kicked up to the Federal government.
[1] See: http://www.washingtonpost.com/wp-srv/national/longterm/supco....