Because DRM sucks. Why can I only listen to Spotify through their player? Why am I restricted to using it only on computers/devices that they've ported their player to?
It's not exactly the same, but back when iTunes sold DRM encrusted music files, I used to strip all the DRM from the files I legally purchased, so that I could play them on my Linux system, stream them to my Philips wifi speaker system, etc.
Being locked in to a single vendor's ecosystem sucks. This is part of the reason why I currently refuse to purchase video from iTunes or Amazon. When the industry wises up and drops DRM from video, I will happily start patronizing them.
Spotify is a bit different—it's more like Netflix than iTunes or Amazon. Still, if I'm paying for it, it's still frustrating to only being able to use their players [1].
[1] My TiVo has a built-in Netflix player, but it really sucks. Much of the newer content doesn't actually decode properly. Being locked into their system means I'm at their mercy. If I could get at the stream I could use a computer somewhere to transcode it into something the TiVo could reliably play... But the DRM prohibits me from doing that, and that's frustrating.