First, we don't exclusively experience a concert through our ears. The reason people use words like "thumping" to describe bass is because it's felt as much as heard. That experience is important to many forms of music, and it isn't possible to get it at low volume.
The second is that the relative volume of different instruments is usually more important to the sound of a song than the absolute volume at the listener. Given that modern instruments have a huge range of loudness (drums are irreducibly loud, electric guitars very quiet), it's clear that you are going to have to amplify up to around the loudest noise to get the mix correct.
Third, sometimes it's just about range. Large concert halls, amphitheaters, etc need to get the mix right across hundreds of yards. Just as you would have to bellow to hold a conversation with someone on the other end of a football field, so a band has to be made loud to do the same.
So, sorry if you have to wear earplugs to cuddle the speakers-- but this really is done to a purpose.