Why not? The roads were built for cars. Driving on them isn't just "convenient," it's exactly what was intended to happen. Don't get me wrong, there should absolutely be more bike lanes and other considerations so that cyclists can travel safely. But, the infrastructure in its current state is definitely built around automobiles, and mixing bikes in is dangerous.
I just spent 4 days commuting around Chicago on bike, so again, I'm all for it. But, as a cyclist, I think you have to approach it like you're in someone else's territory and subject to their whims. I don't believe an indignant "this is my road too" attitude is going to do you any favors.