You might find a problem with that arrangement when you need to buy something that Amazon doesn't or won't carry, and there's nobody else in town (because they can't survive on such products alone). Or as a manufacturer who makes a new and better product compared to something that they have, but who can't find a sales channel for it. Or as someone who is unhappy with some of Amazon's practices - say, how they treat their employees.

And competition doesn't just show up out of thin air - you need a healthy free market for companies to get to the point where they can challenge the market leader. If you allow the monopolist to dominate the market, they will never get there, and there won't be anything for consumers to easily choose from.

In general, concentration of power is dangerous. Few people dispute this with governments - it's not like we wait for them to become authoritarian, we write constitutions that have arrangements that deliberately cripple their ability to do so (separation of powers etc). Why should it be any different for large corporations, when we know from history that monopoly abuse is the most likely outcome?