Because insurance is a private industry and there are few goverment assisted options if you are very poor its very expensive to purchase it by yourself in the US. Private insurance has every incentive to keep raising prices and to keep lobbying the government to stay away from the market.

Your employer can group all of their employees into a single risk pool, so each employee gets a discounted rate. When you purchase insurance on your own you are no longer in a group and so the cost is far more. Doctors are also incentivized to prescribe you drugs you don't need and drugs that insurance covers instead of the correct medication.

My wife had to wait to get surgery on her leg because she just signed up with a new employer and didn't have insurance yet. If she had gotten the surgery without insurance it would have cost somewhere around $100k US.