That's not why, particularly. They do so for various reasons:
- they compare the reality of capitalism with a nonexistent nirvana, rather than the reality of the alternatives. They haven't run the real counterfactual
- they gravitate to any philosophy that they're familiar with instinctively: most students are young, and they conceptualise "fairness" in terms of a loving parental figure with resources meting things out to them, and they think of the government in a similar way
- they believe countries they have heard are nice to live in, normally Scandinavian countries, aren't capitalist
- they don't know the realities of real non-capitalist countries such as the USSR or pre-capitalist China, or present-day Venezuela (not truly non-capitalist, but the central planning around their oil is their main problem), or East Germany, or Cuba
- they have gone to university, the only place where bad ideas can survive and be propogated out into the world